Robust optimization of consumption with random endowment

Wiebke Wittmüß

No 2006-063, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

Abstract: 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.

Keywords: duality theory; risk measures; optimal consumption; model uncertainty (search for similar items in EconPapers)
JEL-codes: D11 D81 (search for similar items in EconPapers)
Date: 2006
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