Pages that link to "Item:Q506375"

The following pages link to The robust Merton problem of an ambiguity averse investor (Q506375):

Displaying 38 items.

• Portfolio selections under mean-variance preference with multiple priors for means and variances (Q525212) (← links)
• Optimal consumption and portfolio choice with ambiguous interest rates and volatility (Q825169) (← links)
• Robust portfolio decisions for financial institutions (Q1714474) (← links)
• Robust time-inconsistent stochastic control problems (Q1797115) (← links)
• Robust utility maximisation in markets with transaction costs (Q1999599) (← links)
• Nonconcave robust optimization with discrete strategies under Knightian uncertainty (Q2009179) (← links)
• Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility (Q2024120) (← links)
• Time-consistency of optimal investment under smooth ambiguity (Q2030310) (← links)
• Duality theory for robust utility maximisation (Q2049550) (← links)
• Robust utility maximization under model uncertainty via a penalization approach (Q2120592) (← links)
• Optimal portfolios in the presence of stress scenarios a worst-case approach (Q2120596) (← links)
• Robust utility maximizing strategies under model uncertainty and their convergence (Q2120607) (← links)
• Quantifying ambiguity bounds via time-consistent sets of indistinguishable models (Q2242978) (← links)
• Pricing and hedging in incomplete markets with model uncertainty (Q2286877) (← links)
• Good deal hedging and valuation under combined uncertainty about drift and volatility (Q2296106) (← links)
• Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs (Q2312400) (← links)
• Consumption-investment problem with pathwise ambiguity under logarithmic utility (Q2323332) (← links)
• Hedging under generalized good-deal bounds and model uncertainty (Q2408899) (← links)
• Robust Utility Maximization in Discrete-Time Markets with Friction (Q4563374) (← links)
• <i>G</i>-expected utility maximization with ambiguous equicorrelation (Q4991082) (← links)
• ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT (Q5010073) (← links)
• OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY (Q5066294) (← links)
• Robust control in a rough environment (Q5072907) (← links)
• A simple robust asset pricing model under statistical ambiguity (Q5079377) (← links)
• Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity (Q5097217) (← links)
• Robust Portfolio Choice with Sticky Wages (Q5097225) (← links)
• Adaptive Robust Control in Continuous Time (Q5158383) (← links)
• Robust utility maximization of terminal wealth with drift and volatility uncertainty (Q5860818) (← links)
• OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK (Q5866980) (← links)
• Robust utility maximization with nonlinear continuous semimartingales (Q6051347) (← links)
• Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets (Q6054387) (← links)
• Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach (Q6054412) (← links)
• Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions (Q6070503) (← links)
• An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix (Q6072101) (← links)
• Markov decision processes under model uncertainty (Q6146671) (← links)
• Deep signature FBSDE algorithm (Q6164091) (← links)
• Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework (Q6192353) (← links)
• Optimal investment and consumption with forward preferences and uncertain parameters (Q6543812) (← links)