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

页码：459 / 475

页数：17

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