Redeker, Imke; Wunderlich, Ralf - In: Statistics & Risk Modeling 35 (2018) 1-2, pp. 1-21
Abstract We consider an investor facing a classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies that reduce a dynamic shortfall risk measure.
For continuous- and discrete-time financial...