Optimal consumption and investment with bounded downside risk measures for logarithmic utility functions
classification
💱 q-fin.PM
math.PRq-fin.RM
keywords
functionsutilityconsumptionlogarithmicoptimalproblemsblack-scholesbounded
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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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