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Zoekopdracht: faculteit: "FEB" en publicatiejaar: "2008"

AuteursT. Kleinow, A. Pelsser
TitelUtility maximization under solvency constraints and unhedgeable risks
Jaar2008
Pagina's22
FaculteitFaculteit Economie en Bedrijfskunde
Instituut/afd.FEB: Research Institute in Economics and Econometrics Amsterdam (RESAM)
SamenvattingWe consider the utility maximization problem for an investor who faces a solvency or risk constraint in addition to a budget constraint. The investor wishes to maximize her expected utility from terminal wealth subject to a bound on her expected solvency at maturity. We measure solvency using a solvency function applied to the terminal wealth. The motivation for our analysis is an optimal investment problem where the investor faces a random and non-hedgable liability at maturity. Keywords: Utility maximisation, Risk constraint, Value-at-Risk, Merton problem, Expected shortfall, Tail-Value-at-Risk
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