Before revision: We consider an investor faced with the classical portfolio problem of optimal investment in a log- Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies which reduce a dynamic shortfall risk measure.
After revision: We consider an investor faced with the classical portfolio problem of optimal investment in a log-Brownian stock and a fixed-interest bond, but constrained to choose portfolio and consumption strategies which reduce a dynamic shortfall risk measure.