Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/25146
Authors: 
Wittmüß, Wiebke
Year of Publication: 
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

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