Optimal consumption and portfolio choice with ambiguity and anticipation

DOI10.1016/j.ins.2006.07.028zbMath1305.91216OpenAlexW2021195129MaRDI QIDQ2456486

Weiyin Fei

Publication date: 18 October 2007

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2006.07.028

zbMATH Keywords

ambiguityanticipationenlargement of filtrationsoptimal consumption and portfolioMalliavin derivativesrecursive multiple-priors utility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)

Related Items (12)

Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by \(G\)-Brownian motion ⋮ Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk ⋮ Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity ⋮ Possibilistic mean-variance models and efficient frontiers for portfolio selection problem ⋮ Time-consistent lifetime portfolio selection under smooth ambiguity ⋮ Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments ⋮ On existence and uniqueness of solutions to uncertain backward stochastic differential equations ⋮ Optimal consumption and portfolio under inflation and Markovian switching ⋮ Asset portfolio optimization using fuzzy mathematical programming ⋮ Optimal Control of Uncertain Stochastic Systems with Markovian Switching and Its Applications to Portfolio Decisions ⋮ Optimal Portfolio Choice Based on α-MEU Under Ambiguity ⋮ Objective comparisons of the optimal portfolios corresponding to different utility functions

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