caa a22 4500 445839856 CHVBK 20180317145340.0 cr unu---uuuuu 170323e20110801xx s 000 0 eng 10.1007/s00186-011-0347-4 doi (NATIONALLICENCE)springer-10.1007/s00186-011-0347-4 Risk averse asymptotics in a Black-Scholes market on a finite time horizon [Elektronische Daten] [Peter Grandits, Stefan Thonhauser] We consider the optimal investment and consumption problem in a Black-Scholes market, if the target functional is given by expected discounted utility of consumption plus expected discounted utility of terminal wealth. We investigate the behaviour of the optimal strategies, if the relative risk aversion tends to infinity. It turns out that the limiting strategies are: do not invest at all in the stock market and keep the rate of consumption constant! Springer-Verlag, 2011 Utility maximization nationallicence Risk aversion asymptotics nationallicence Black-Scholes market nationallicence Grandits Peter Institute for Mathematical Methods in Economics, TU Vienna, 1040, Vienna, Austria aut Thonhauser Stefan Institute of Actuarial Science, University of Lausanne, 1015, Lausanne, Switzerland aut Mathematical Methods of Operations Research Springer-Verlag 74/1(2011-08-01), 21-40 1432-2994 74:1<21 2011 74 186 https://doi.org/10.1007/s00186-011-0347-4 text/html Onlinezugriff via DOI 1 research-article jats NATIONALLICENCE 856 40 https://doi.org/10.1007/s00186-011-0347-4 text/html Onlinezugriff via DOI NATIONALLICENCE 700 1- Grandits Peter Institute for Mathematical Methods in Economics, TU Vienna, 1040, Vienna, Austria aut NATIONALLICENCE 700 1- Thonhauser Stefan Institute of Actuarial Science, University of Lausanne, 1015, Lausanne, Switzerland aut NATIONALLICENCE 773 0- Mathematical Methods of Operations Research Springer-Verlag 74/1(2011-08-01), 21-40 1432-2994 74:1<21 2011 74 186 Metadata rights reserved Springer special CC-BY-NC licence nationallicence BK010053 XK010053 XK010000 NATIONALLICENCE NATIONALLICENCE NL-springer