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2006-09-11Buch DOI: 10.18452/3993
Robust Optimization of Consumption with Random Endowment
dc.contributor.authorWittmüß, Wiebke
dc.date.accessioned2017-06-15T23:15:25Z
dc.date.available2017-06-15T23:15:25Z
dc.date.created2006-09-20
dc.date.issued2006-09-11
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4645
dc.description.abstractWe 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.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.subjectduality theoryeng
dc.subjectrisk measureseng
dc.subjectmodel uncertaintyeng
dc.subjectoptimal consumptioneng
dc.subject.ddc330 Wirtschaft
dc.titleRobust Optimization of Consumption with Random Endowment
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10068436
dc.identifier.doihttp://dx.doi.org/10.18452/3993
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages28
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2006
local.edoc.container-issue63
local.edoc.container-year2006
local.edoc.container-erstkatid2195055-6

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