2006-09-11Buch DOI: 10.18452/3993
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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Is Part Of Series: Sonderforschungsbereich 649: Ökonomisches Risiko - 63, SFB 649 Papers, ISSN:1860-5664