Robust optimization of consumption with random endowment

被引：10
|
作者：
Wittmuess, Wiebke [1 ]
机构：
[1] Berlin Univ Technol, Inst Math, D-12623 Berlin, Germany
来源：
STOCHASTICS-AN INTERNATIONAL JOURNAL OF PROBABILITY AND STOCHASTIC PROCESSES | 2008年 / 80卷 / 05期
关键词：
duality theory; risk measures; optimal consumption; model uncertainty;
D O I：
10.1080/17442500701761347
中图分类号：
O29 [应用数学];
学科分类号：
070104 ;
摘要：
We consider the problem of optimal consumption for an investor who is risk and uncertainty averse. We model these preferences of the investor with the help of a convex risk-measure. Apart from consumption the agent has the possibility to invest initial capital and random endowment in a market where stock-prices are semimartingales. We formulate this as a maximin problem that will be solved by duality methods.
引用
收藏
页码：459 / 475
页数：17
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