Optimal consumption and portfolio choice with ambiguity and anticipation
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Publication:2456486
DOI10.1016/J.INS.2006.07.028zbMATH Open1305.91216OpenAlexW2021195129MaRDI QIDQ2456486FDOQ2456486
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
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ambiguityanticipationenlargement of filtrationsoptimal consumption and portfolioMalliavin derivativesrecursive multiple-priors utility
Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10) Stochastic integrals (60H05) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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Cited In (23)
- 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
- Objective comparisons of the optimal portfolios corresponding to different utility functions
- On existence and uniqueness of solutions to uncertain backward stochastic differential equations
- 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
- A note on robustness in Merton's model of intertemporal consumption and portfolio choice
- Data envelopment analysis based fuzzy multi-objective portfolio selection model involving higher moments
- Title not available (Why is that?)
- 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
- Optimal consumption under uncertainty, liquidity constraints, and bounded rationality
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