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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
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http://hdl.handle.net/10419/25146
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| Title: | | Robust optimization of consumption with random endowment  |
| 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 |
| JEL: | | D11 D81 |
| Document Type: | | Working Paper |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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