Possibilistic individual multi-period consumption-investment models

DOI10.1016/J.FSS.2015.01.005zbMath1375.91218OpenAlexW2008027517MaRDI QIDQ1677108

Peijun Guo, Yong-Gang Li

Publication date: 10 November 2017

Published in: Fuzzy Sets and Systems (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.fss.2015.01.005

zbMATH Keywords

decision makingdynamic programmingpossibility distributionconsumption-investment problemone-shot decision theoryfocus pointmultistage decision problemscenario-based decision theory

Mathematics Subject Classification ID

Fuzzy and other nonstochastic uncertainty mathematical programming (90C70) Dynamic programming (90C39) Portfolio theory (91G10)

Related Items (3)

Approaches to four types of bilevel programming problems with nonconvex nonsmooth lower level programs and their applications to newsvendor problems ⋮ A bilevel optimization model for the newsvendor problem with the focus theory of choice ⋮ Focus theory of choice and its application to resolving the St. Petersburg, Allais, and Ellsberg paradoxes and other anomalies

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Newsvendor models for innovative products with one-shot decision theory
• Optimal consumption and investment under time-varying relative risk aversion
• Optimal investment and life insurance strategies under minimum and maximum constraints
• Consumption-portfolio optimization with recursive utility in incomplete markets
• Consumption-investment problems with transaction costs: Survey and open problems
• Approaches to multistage one-shot decision making
• Optimal investment-consumption strategy in a discrete-time model with regime switching
• EXPLICIT SOLUTIONS OF CONSUMPTION-INVESTMENT PROBLEMS IN FINANCIAL MARKETS WITH REGIME SWITCHING
• Utility Maximization with Discretionary Stopping
• One-Shot Decision Theory: A Fundamental Alternative for Decision Under Uncertainty
• Multiperiod Optimal Investment-Consumption Strategies with Mortality Risk and Environment Uncertainty

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