Optimal consumption and investment with bounded downside risk for power utility functions

zbMath1200.91281arXiv1002.2487MaRDI QIDQ3400713

Claudia Klüppelberg, Serguei Pergamenchtchikov

Publication date: 5 February 2010

Full work available at URL: https://arxiv.org/abs/1002.2487

zbMATH Keywords

stochastic optimal controlportfolio optimizationrisk constraints

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Viscosity solutions to Hamilton-Jacobi equations in optimal control and differential games (49L25) Portfolio theory (91G10)

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