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. 
Erhan Bayraktar and Virginia R. Young
q-fin.PM math.OC math.PR