Optimal consumption and portfolio choice with ambiguity and anticipation

DOI10.1016/J.INS.2006.07.028MaRDI QIDQ2456486zbMATH OpenOpenAlexFDO

Authors Weiyin Fei

Publication date 18 October 2007

Published in Information Sciences (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ins.2006.07.028

zbMATH Keywords

ambiguityanticipationenlargement of filtrationsoptimal consumption and portfolioMalliavin derivativesrecursive multiple-priors utility

Mathematics Subject Classification ID

Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• Optimal investment-consumption choice with portfolio constraint in ambiguity market
• Optimal consumption and portfolio choice with ambiguous interest rates and volatility
• Optimal consumption and portfolio with ambiguity to Markovian switching
• Optimal consumption and portfolio selection with stochastic differential utility
• Optimal consumption strategies under model uncertainty
• Optimal portfolio and consumption decisions in a stochastic environment with precommitment
• Consumption and portfolio decisions with uncertain lifetimes
• Optimal investment and consumption problems under correlation ambiguity
• scientific article; zbMATH DE number 7625317
• Optimal consumption and portfolio selection with lower and upper bounds on consumption

Cites work

• scientific article; zbMATH DE number 51724 (Why is no real title available?)
• scientific article; zbMATH DE number 3505708 (Why is no real title available?)
• scientific article; zbMATH DE number 1227086 (Why is no real title available?)
• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• scientific article; zbMATH DE number 785439 (Why is no real title available?)
• A generalized clark representation formula, with application to optimal portfolios
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Anticipative portfolio optimization
• Anticipative portfolio optimization under constraints and a higher interest rate for borrowing
• Backward Stochastic Differential Equations in Finance
• Continuous Auctions and Insider Trading
• Continuous-time security pricing. A utility gradient approach
• Local martingales, arbitrage, and viability. Free snacks and cheap thrills
• Malliavin's Calculus in Insider Models: Additional Utility and Free Lunches
• Optimal consumption choices with anticipation: Methods of martingale
• Optimal investment consumption model with a higher interest rate for borrowing
• Optimal trading strategy for an investor: the case of partial information
• Optimization of Utility for “Larger Investor” with Anticipation
• Risk, ambiguity and the Savage axioms
• Stochastic Differential Utility
• Study of constrained portfolio model on optimization of utility from terminal wealth.
• Utility maximization with partial information

Cited in

(23)

• Optimal consumption under uncertainty, liquidity constraints, and bounded rationality
• Optimal consumption and portfolio choice with ambiguous interest rates and volatility
• Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by \(G\)-Brownian motion
• Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity
• Optimal investment-consumption choice with portfolio constraint in ambiguity market
• Optimal consumption choices with anticipation: Methods of martingale
• Possibilistic mean-variance models and efficient frontiers for portfolio selection problem
• Dynamic portfolio choice under ambiguity and regime switching mean returns
• A study of optimal investment with ambiguity and anticipation under fluctuated discounting rate
• On existence and uniqueness of solutions to uncertain backward stochastic differential equations
• Objective comparisons of the optimal portfolios corresponding to different utility functions
• Optimal consumption and portfolio under inflation and Markovian switching
• Optimal Portfolio Choice Based on α-MEU Under Ambiguity
• Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk
• The effects of uncertainty on optimal consumption
• Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments
• A note on robustness in Merton's model of intertemporal consumption and portfolio choice
• scientific article; zbMATH DE number 7625317 (Why is no real title available?)
• Time-consistent lifetime portfolio selection under smooth ambiguity
• Optimal control of uncertain stochastic systems with Markovian switching and its applications to portfolio decisions
• Asset portfolio optimization using fuzzy mathematical programming
• An ambiguity aversion investor's optimal portfolio with rare events
• Optimal portfolio and consumption decisions in a stochastic environment with precommitment

This page was built for publication: Optimal consumption and portfolio choice with ambiguity and anticipation

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2456486)