Maximizing Utility of Consumption Subject to a Constraint on the Probability of Lifetime Ruin
arXiv:1206.6268
Abstract
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.
arXiv commentKeywords: Utility maximization from consumption, probability of lifetime ruin constraint, nonconvex risk constraint on the entire path of the wealth process