Robust risk-taking under a sustainable constraint

DOI10.1016/J.ORL.2022.02.004MaRDI QIDQ2157888zbMATH OpenOpenAlexFDO

Authors Jiawen Xu, Deqing Luo, Jingzhou Yan, Xiao Ping Wu

Publication date 22 July 2022

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2022.02.004

zbMATH Keywords

ambiguityrisk-takingsustainable constraintwelfare loss

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

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Cites work

• Ambiguity sharing and the lack of relative performance evaluation
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Incomplete markets, Knightian uncertainty and high-water marks
• Robust Contracts in Continuous Time
• Robust dynamic pairs trading with cointegration
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Stochastic Differential Utility
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework

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