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Robust Optimization of Consumption with Random Endowment

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  • Wiebke Wittmüß

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.

Suggested Citation

  • Wiebke Wittmüß, 2006. "Robust Optimization of Consumption with Random Endowment," SFB 649 Discussion Papers SFB649DP2006-063, Sonderforschungsbereich 649, Humboldt University, Berlin, Germany.
    • Handle: RePEc:hum:wpaper:sfb649dp2006-063
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    File URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2006-063.pdf
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    References listed on IDEAS

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    More about this item

    Keywords

    duality theory; risk measures; optimal consumption; model uncertainty;
    All these keywords.

    JEL classification:

    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

    NEP fields

    This paper has been announced in the following NEP Reports:

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