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摘要翻译：
研究了Black-Scholes市场在风险价值和预期缺口一致限制下的最优消费和最优投资问题。我们制定了各种效用最大化问题，这些问题可以显式地解决。我们将最优值、最优控制和最优财富形式的最优解与相似问题在附加一致风险界下进行了比较。我们的证明部分基于Hamilton-Jacobi-Bellman方程的解，并证明了相应的验证定理。这项工作得到了欧洲科学基金会通过AMaMeF计划的支持。
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英文标题：
《Optimal consumption and investment with bounded downside risk for power
utility functions》
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作者：
Claudia Kluppelberg, Serguei Pergamenchtchikov (LMRS)
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最新提交年份：
2010
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Mathematics 数学
二级分类：Probability 概率
分类描述：Theory and applications of probability and stochastic processes: e.g. central limit theorems, large deviations, stochastic differential equations, models from statistical mechanics, queuing theory
概率论与随机过程的理论与应用：例如中心极限定理，大偏差，随机微分方程，统计力学模型，排队论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
We investigate optimal consumption and investment problems for a Black-Scholes market under uniform restrictions on Value-at-Risk and Expected Shortfall. We formulate various utility maximization problems, which can be solved explicitly. We compare the optimal solutions in form of optimal value, optimal control and optimal wealth to analogous problems under additional uniform risk bounds. Our proofs are partly based on solutions to Hamilton-Jacobi-Bellman equations, and we prove a corresponding verification theorem. This work was supported by the European Science Foundation through the AMaMeF programme.
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PDF链接：
https://arxiv.org/pdf/1002.2487
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