Correspondence between Lifetime Minimum Wealth and Utility of Consumption

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dc.creatorBayraktar, Erhan
dc.creatorYoung, Virginia R.
dc.date2007-03-27
dc.date.accessioned2026-07-07T12:07:24Z
dc.date.available2026-07-07T12:07:24Z
dc.descriptionWe establish when the two problems of minimizing a function of lifetime minimum wealth and of maximizing utility of lifetime consumption result in the same optimal investment strategy on a given open interval $O$ in wealth space. To answer this question, we equate the two investment strategies and show that if the individual consumes at the same rate in both problems -- the consumption rate is a control in the problem of maximizing utility -- then the investment strategies are equal only when the consumption function is linear in wealth on $O$, a rather surprising result. It, then, follows that the corresponding investment strategy is also linear in wealth and the implied utility function exhibits hyperbolic absolute risk aversion.
dc.identifierhttps://arxiv.org/abs/math/0703820
dc.identifierhttp://arxiv.org/abs/math/0703820
dc.identifierFinance and Stochastics, 2007, Volume 11 (2), 213-236
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208956
dc.subjectOptimization and Control
dc.subjectProbability
dc.subjectGeneral Finance
dc.subject91B28, 91B42
dc.titleCorrespondence between Lifetime Minimum Wealth and Utility of Consumption
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