Albrecher, H., Runggaldier, W. and Schachermayer, W. (Eds.)
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
We investigate optimal consumption problems for a Black–Scholes market under uniform
restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions
in terms of a dynamic strategy in explicit form, which can be compared and interpreted. This
paper continues our previous work, where we solved similar problems for power utility functions.