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2014
Paper (Preprint, Research Paper, Review Paper, White Paper, etc.)
Titel
Worst-case consumption-portfolio optimization
Titel Supplements
Published at SSRN
Abstract
We investigate worst-case optimal consumption and portfolio decisions under the threat of a market crash. In an infinite-horizon setting, we provide an explicit solution for constant relative risk aversion and establish a rigorous verification result. Moreover, we find a dual characterization of the optimal strategy and quantify the impact of the crash on consumption and portfolio choice.
Author(s)