Maximizing expected exponential utility of consumption with a constraint on expected time in poverty
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Economics, Econometrics and Finance,Finance
Link
http://link.springer.com/content/pdf/10.1007/s10436-019-00354-z.pdf
Reference11 articles.
1. Atkinson, C., Papakokkinou, M.: Theory of optimal consumption and portfolio selection under a Capital-at-Risk (CaR) and a Value-at-Risk (VaR) constraint. IMA J Manag Math 16(1), 37–70 (2005)
2. Bayraktar, E., Young, V.R.: Maximizing utility of consumption subject to a constraint on the probability of lifetime ruin. Finance Res Lett 5(4), 204–212 (2008)
3. Bayraktar, E., Virginia, R.Y.: Optimally investing to reach a bequest goal. Insur Math Econ 70, 1–10 (2016)
4. Grandits, P.: An optimal consumption problem in finite time with a constraint on the ruin probability. Finance Stochast 19(4), 791–847 (2015)
5. Karatzas, I., Lehoczky, J.P., Sethi, S.P., Shreve, S.E.: Explicit solution of a general consumption/investment problem. Math Oper Res 11(2), 261–294 (1986)
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