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

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

2010-02-12

arxiv.org/abs/1002.2486v1

Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions (2009) 428

Economy

Quantitative Finance

Portfolio Management

Scientific paper

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.

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