Robust Optimization of Consumption with Random Endowment

We consider the problem of optimal consumption for an investor who is risk and uncertainty avers. 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.

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Year of publication:	2006-09
Authors:	Wittmüß, Wiebke
Institutions:	Sonderforschungsbereich 649: Ökonomisches Risiko, Wirtschaftswissenschaftliche Fakultät
Subject:	duality theory \| risk measures \| optimal consumption \| model uncertainty

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Extent:	application/pdf
Series:	SFB 649 Discussion Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	Number SFB649DP2006-063 28 pages
Classification:	D11 - Consumer Economics: Theory ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005677973