• Media type: E-Book; Report
  • Title: Robust optimization of consumption with random endowment
  • Contributor: Wittmüß, Wiebke [Author]
  • imprint: Berlin: Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk, 2006
  • Language: English
  • Keywords: D81 ; duality theory ; model uncertainty ; D11 ; optimal consumption ; risk measures
  • Origination:
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  • Description: 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.
  • Access State: Open Access