Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity
DOI10.1007/s11766-012-2749-3zbMath1289.91147OpenAlexW2154851259MaRDI QIDQ376839
Publication date: 19 November 2013
Published in: Applied Mathematics. Series B (English Edition) (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11766-012-2749-3
variational inequalitystochastic controlbackward stochastic differential equations\(\alpha\)-maxmin expected CES utilityoptimal consumption-leisure-portfolio and retirementoptimization of utility
Random fields (60G60) Applications of statistics to actuarial sciences and financial mathematics (62P05) Applications of stochastic analysis (to PDEs, etc.) (60H30) Consumer behavior, demand theory (91B42) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)
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