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Optimal consumption strategies under model uncertainty
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Christian Burgert
Published/Copyright:
September 25, 2009
Summary
In this paper we consider the problem of finding optimal consumption strategies in an incomplete semimartingale market model under model uncertainty. The quality of a consumption strategy is measured by not only one probability measure but as common in risk theory by a class of scenario measures. We formulate a dual version of the optimization problem and prove the existence of a saddle point and give a characterization of an optimal consumption strategy in terms of solutions of the dual problem. This generalizes results of Karatzas and Zitkovic (2003) for the optimal consumption problem under a fixed probability measure.
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Published Online: 2009-09-25
Published in Print: 2005-01-01
© R. Oldenbourg Verlag, München
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Articles in the same Issue
- Optimal consumption strategies under model uncertainty
- Perpetual convertible bonds in jump-diffusion models
- On low dimensional case in the fundamental asset pricing theorem with transaction costs
- Optimal portfolios with expected loss constraints and shortfall risk optimal martingale measures
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