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Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
Maximizing Utility Consumption Subject a Constraint Lifetime Ruin
2012/9/14
In this note, we explicitly solve the problem of maximizing utility of consumption (until the minimum of bankruptcy and the time of death) with a constraint on the probability of lifetime ruin, which ...
A control problem with fuel constraint and Dawson-Watanabe superprocesses
Dawson-Watanabe superprocess J-functional log-Laplace equation optimal sto-chastic control with fuel constraint optimal order execution
2012/9/14
We solve a class of control problems with fuel constraint by means of the log-Laplace trans-forms of J-functionals of Dawson–Watanabe superprocesses. This solution is related to the superprocess solut...
Conditional Value-at-Risk Constraint and Loss Aversion Utility Functions
Risk measures Utility functions Nonexpected utility theory Maxmin Conditional Value-at-Risk Loss aversion
2010/11/1
We provide an economic interpretation of the practice consisting in incorporating risk measures as constraints in a classic expected return maximization problem. For what we call the infimum of expect...