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Titel:

Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions

Dokumenttyp:
Buchbeitrag
Autor(en):
Klüppelberg, C. and Pergamenshchikov, S.
Künstler (Werkautoren):
Albrecher, H., Runggaldier, W. and Schachermayer, W. (Eds.)
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
WWW:
http://econpapers.repec.org/paper/arxpapers/1002.2486.htm
Semester:
WS 09-10
Format:
Text
 BibTeX