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

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

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Publication:3656692

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zbMath1197.91177arXiv1002.2486MaRDI QIDQ3656692

Claudia Klüppelberg, Serguei Pergamenchtchikov

Publication date: 13 January 2010

Full work available at URL: https://arxiv.org/abs/1002.2486

zbMATH Keywords

Black-Scholes model utility maximization value-at-risk expected shortfall optimal consumption logarithmic utility capital-at-risk

Mathematics Subject Classification ID

Dynamic programming in optimal control and differential games (49L20) Stochastic models in economics (91B70) Optimal stochastic control (93E20) Optimality conditions for problems involving randomness (49K45) Portfolio theory (91G10)

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Optimal Investment with Bounded VaR for Power Utility Functions ⋮ Optimal investment and consumption for financial markets with jumps under transaction costs

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