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

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.

preprint2012arXivOpen access
Erhan BayraktarVirginia R. Young
math.OCmath.PRq-fin.PM
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Erhan BayraktarVirginia R. Young

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