Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions

Claudia Kluppelberg and Serguei Pergamenchtchikov
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Claudia Kluppelberg: LMRS
Serguei Pergamenchtchikov: LMRS

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Abstract: We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in terms of a dynamic strategy in explicit form, which can be compared and interpreted. This paper continues our previous work, where we solved similar problems for power utility functions.

Date: 2010-02
New Economics Papers: this item is included in nep-upt
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Published in Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions (2009) 428

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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1002.2486

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