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Dokumenttyp:
Buchbeitrag 
Autor(en):
Klüppelberg, C. and Pergamenshchikov, S. 
Künstler (Werkautoren):
Albrecher, H., Runggaldier, W. and Schachermayer, W. (Eds.) 
Titel:
Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions 
Abstract:
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. 
Seitenangaben Beitrag:
245-273 
Stichworte:
Black–Scholes model, capital-at-risk, expected shortfall, logarithmic utility, optimal consumption, portfolio optimisation, utility maximisation, value-at-risk. 
Buchtitel:
Albrecher, H., Runggaldier, W. and Schachermayer, W.: Advanced Financial Modelling 
Verlag / Institution:
Walter de Gruyter 
Jahr:
2009 
Sprache:
en 
Semester:
WS 09-10 
Format:
Text