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Optimal Consumption and Investment with Bounded Capital-at-Risk
Year Of Publication: 2007
Month Of Publication: February
Pages: 35
Download Count: 602
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Comment Num: 0
Language: EN
Source:
Who Can Read: Free
Date: 11-3-2005
Publisher: Administrator
Summary
We investigate optimal consumption problems for a Black-Scholes market underuniform restrictions on Value-at-Risk and Expected Shortfall. We formulate variousproblems as control problems, which we solve explicitly. We compare the optimalsolutions in form of optimal value, optimal control and optimal wealth to analogouscontrol problems in terms of utility maximization problems. Our proofs arepartly based on solutions to Hamilton-Jacobi-Bellman equations, and we prove acorresponding verification theorem.
Author(s)
Kluppelberg, Claudia Sign in to follow this author
Pergamenchtchikov, S. Sign in to follow this author
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