Optimal Consumption and Investment with Bounded Downside Risk for Power Utility Functions
Optimal Consumption and Investment with Bounded Downside Risk for Power Utility Functions
复制标题
电力公用事业功能下行风险有限的最优消费和投资
DOI：
10.1007/978-3-642-02608-9_7
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发表时间：
2009
期刊：
影响因子：
--
通讯作者：
S. Pergamenchtchikov
中科院分区：
文献类型：
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作者：
C. Kluppelberg;S. Pergamenchtchikov
本文研究了在风险价值和期望短缺一致约束下的Black-Scholes市场的最优消费和投资问题。我们制定各种效用最大化的问题，可以明确解决。我们比较的最优解的形式的最优值，最优控制和最优财富的类似问题下额外的一致风险界。我们的证明部分是基于解决方案的Hamilton-Jacobi-Bellman方程，我们证明了相应的验证定理。
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximisation problems, which can be solved explicitly. We compare the optimal solutions in form of optimal value, optimal control and optimal wealth to analogous problems under additional uniform risk bounds. Our proofs are partly based on solutions to Hamilton-Jacobi-Bellman equations, and we prove a corresponding verification theorem.