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 filtrationsMalliavin derivativesoptimal consumption and portfoliorecursive multiple-priors utility

Mathematics Subject Classification ID

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

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Cited in

(24)

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

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