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Title:Robust optimization of consumption with random endowment PDF Logo
Authors:Wittmüß, Wiebke
Issue Date:2006
Series/Report no.:SFB 649 discussion paper 2006,063
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.
Subjects:duality theory
risk measures
optimal consumption
model uncertainty
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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