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Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions

  • Claudia Kluppelberg

    (LMRS)

  • Serguei Pergamenchtchikov

    (LMRS)

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    We investigate optimal consumption problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall for logarithmic utility functions. We find the solutions in terms of a dynamic strategy in explicit form, which can be compared and interpreted. This paper continues our previous work, where we solved similar problems for power utility functions.

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    File URL: http://arxiv.org/pdf/1002.2486
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    Paper provided by arXiv.org in its series Papers with number 1002.2486.

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    Date of creation: Feb 2010
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    Publication status: Published in Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions (2009) 428
    Handle: RePEc:arx:papers:1002.2486
    Contact details of provider: Web page: http://arxiv.org/

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    1. Susanne Emmer & Claudia Kl├╝ppelberg & Ralf Korn, 2001. "Optimal Portfolios with Bounded Capital at Risk," Mathematical Finance, Wiley Blackwell, vol. 11(4), pages 365-384.
    2. Philippe Artzner & Freddy Delbaen & Jean-Marc Eber & David Heath, 1999. "Coherent Measures of Risk," Mathematical Finance, Wiley Blackwell, vol. 9(3), pages 203-228.
    3. Suleyman Basak & Alex Shapiro, . "Value-at-Risk Based Risk Management: Optimal Policies and Asset Prices," Rodney L. White Center for Financial Research Working Papers 6-99, Wharton School Rodney L. White Center for Financial Research.
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