Optimal consumption strategies under model uncertainty

DOI10.1524/STND.2005.23.1.1zbMATH Open1138.91422OpenAlexW2287678325MaRDI QIDQ5696310FDOQ5696310

Christian Burgert, Ludger Rüschendorf

Publication date: 18 October 2005

Published in: Statistics & Risk Modeling (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/bb01f6a0fb319dad5f682f3759dd8f72f8424341

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Cited In (18)

• Title not available (Why is that?)
• Optimal consumption and portfolio choice with ambiguity and anticipation
• OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY
• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
• Robust optimal control for a consumption-investment problem
• Optimal consumption policies in illiquid markets
• A simple model of optimum life-cycle consumption with earnings uncertainty
• Optimal consumption choices with anticipation: Methods of martingale
• Title not available (Why is that?)
• Robust utility maximization without model compactness
• Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
• Optimal saving under Poisson uncertainty
• Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
• Title not available (Why is that?)
• LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS
• Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
• Optimal consumption under uncertainty, liquidity constraints, and bounded rationality
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach

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