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2007-03-25Buch DOI: 10.18452/4049
Robust Maximization of Consumption with Logarithmic Utility
dc.contributor.authorHernández–Hernández, Daniel
dc.contributor.authorSchied, Alexander
dc.date.accessioned2017-06-15T23:26:46Z
dc.date.available2017-06-15T23:26:46Z
dc.date.created2007-06-13
dc.date.issued2007-03-25
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4701
dc.description.abstractWe analyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consistent convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an external stochastic factor process. Our main results give conditions on the minimal penalty function of the robust utility functional under which the value function of our problem can be identified with the unique classical solution of a quasilinear PDE within a class of functions satisfying certain growth conditions.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectstochastic controleng
dc.subjectdynamic consistencyeng
dc.subjectconvex risk measureeng
dc.subjectoptimal consumptioneng
dc.subjectRobust utility maximizationeng
dc.subjectstochastic factor modeleng
dc.subjectHamilton-Jacobi-Bellman equationeng
dc.subject.ddc330 Wirtschaft
dc.titleRobust Maximization of Consumption with Logarithmic Utility
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10078116
dc.identifier.doihttp://dx.doi.org/10.18452/4049
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages7
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue30
local.edoc.container-year2007
local.edoc.container-erstkatid2195055-6

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