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arxiv: 1206.6268 · v1 · pith:VCYJI4XLnew · submitted 2012-06-27 · 💱 q-fin.PM · math.OC· math.PR

Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin

classification 💱 q-fin.PM math.OCmath.PR
keywords constraintconsumptionlifetimemaximizingprobabilityruinutilitybankruptcy
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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 can be interpreted as a risk measure on the whole path of the wealth process.

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