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- W2108237265 abstract "We 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." @default.
- W2108237265 created "2016-06-24" @default.
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- W2108237265 date "2007-02-09" @default.
- W2108237265 modified "2023-09-27" @default.
- W2108237265 title "Correspondence between lifetime minimum wealth and utility of consumption" @default.
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- W2108237265 doi "https://doi.org/10.1007/s00780-007-0035-7" @default.
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