Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin

Erhan Bayraktar and Virginia R. Young

Finance Research Letters, 2008, vol. 5, issue 4, 204-212

Abstract: In this paper, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which can be interpreted as a risk measure on the whole path of the wealth process.

Keywords: Utility; maximization; from; consumption; Probability; of; lifetime; ruin; constraint; Nonconvex; risk; constraint; on; the; entire; path; of; the; wealth; process (search for similar items in EconPapers)
Date: 2008
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Citations: View citations in EconPapers (4)

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Related works:
Working Paper: Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:5:y:2008:i:4:p:204-212

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