Arbeitspapier
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.
- Language
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Englisch
- Bibliographic citation
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Series: SFB 649 Discussion Paper ; No. 2006,063
- Classification
-
Wirtschaft
Consumer Economics: Theory
Criteria for Decision-Making under Risk and Uncertainty
- Subject
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duality theory
risk measures
optimal consumption
model uncertainty
- Event
-
Geistige Schöpfung
- (who)
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Wittmüß, Wiebke
- Event
-
Veröffentlichung
- (who)
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Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (where)
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Berlin
- (when)
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2006
- Handle
- Last update
-
10.03.2025, 11:44 AM CET
Data provider
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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Wittmüß, Wiebke
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Time of origin
- 2006
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