Arbeitspapier
Robust maximization of consumption with logarithmic utility
We anlyze the stochastic control approach to the dynamic maximization of the robust utility of consumption and investment. The robust utility functionals are defined in terms of logarithmic utility and a dynamically consisten convex risk measure. The underlying market is modeled by a diffusion process whose coefficients are driven by an external stochastic factor process: Our main results give conditions on the minimal penalty function of the robust utility functional under which the value function of our problem can be identified with the unique classical solution of a quasilinear PDE within a class of functions satisfying certain growth conditions.
- Sprache
-
Englisch
- Erschienen in
-
Series: SFB 649 Discussion Paper ; No. 2007,030
- Klassifikation
-
Wirtschaft
- Thema
-
Nutzen
Zeitpräferenz
Optimaler Konsum
Robustes Verfahren
Unvollkommener Markt
Dynamische Optimierung
Theorie
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Hernández-Hernández, Daniel
Schied, Alexander
- Ereignis
-
Veröffentlichung
- (wer)
-
Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
- (wo)
-
Berlin
- (wann)
-
2007
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:42 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Hernández-Hernández, Daniel
- Schied, Alexander
- Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Entstanden
- 2007
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