Robust optimal control for a consumption-investment problem
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Publication:2482684
DOI10.1007/S00186-007-0172-YzbMATH Open1145.91027OpenAlexW2052438825MaRDI QIDQ2482684FDOQ2482684
Authors: Alexander Schied 
Publication date: 23 April 2008
Published in: Mathematical Methods of Operations Research (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2007-026.pdf
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Robust controlIncomplete marketsStochastic volatilityCoherent risk measuresModel uncertaintyOptimal consumptionConvex duality
Minimax problems in mathematical programming (90C47) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Dynamic programming in optimal control and differential games (49L20)
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Cited In (36)
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- Optimal consumption and portfolio choice with ambiguous interest rates and volatility
- Expected utility maximization problem under state constraints and model uncertainty
- Hedging under generalized good-deal bounds and model uncertainty
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- Robust stochastic control and equivalent martingale measures
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
- Lifetime consumption and investment for worst-case crash scenarios
- Robust Dividend, Financing, and Reinsurance Strategies Under Model Uncertainty with Proportional Transaction Costs
- Discounted robust control for Markov diffusion processes
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- Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets
- Optimization of dynamic consumption streams under uncertainty
- Robust consumption-investment problem on infinite horizon
- Robust consumption portfolio optimization with stochastic differential utility
- A note on robustness in Merton's model of intertemporal consumption and portfolio choice
- On the use of stochastic differential games against nature to ergodic control problems with unknown parameters
- A note on the worst case approach for a market with a stochastic interest rate
- Optimal consumption strategies under model uncertainty
- Robust consumption-investment with return ambiguity: a dual approach with volatility ambiguity
- Optimal stochastic control problem under model uncertainty with nonentropy penalty
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