Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets

DOI10.1111/mafi.12217OpenAlexW2963765547MaRDI QIDQ5855948

Ming Ma, Zongxia Liang

Publication date: 23 March 2021

Published in: Mathematical Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1811.12149

zbMATH Keywords

minimax problemKnightian uncertaintydeterministic-to-stochastic paradigmmeasurable saddle pointrobust Merton problemtime-varying confidence sets

Mathematics Subject Classification ID

Utility theory (91B16) Financial markets (91G15)

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