Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
Portfolio Management
2010-02-15 v1 Probability
Risk Management
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.
Keywords
Cite
@article{arxiv.1002.2486,
title = {Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions},
author = {Claudia Kluppelberg and Serguei Pergamenchtchikov},
journal= {arXiv preprint arXiv:1002.2486},
year = {2010}
}