Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin

Erhan Bayraktar and Virginia R. Young

Papers from arXiv.org

Abstract: In this note, 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.

Date: 2012-06
New Economics Papers: this item is included in nep-mic, nep-rmg and nep-upt
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Published in Finance and Research Letters, (2008), 5 (4), 204-212

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Journal Article: Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin (2008)
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