Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations

DOI10.1017/APR.2022.5zbMATH Open1505.91348OpenAlexW4282934259MaRDI QIDQ5055366FDOQ5055366

Authors: Giorgio Ferrari, Hanwu Li, Frank Riedel 

Publication date: 13 December 2022

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/apr.2022.5

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zbMATH Keywords

Knightian uncertaintyambiguity aversionsingular stochastic control\(g\)-expectation

Mathematics Subject Classification ID

Portfolio theory (91G10) Consumer behavior, demand theory (91B42) Applications of stochastic analysis (to PDEs, etc.) (60H30) Optimal stochastic control (93E20)

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Cited In (3)

• Consumption choice and asset pricing with a non-price-taking agent
• Optimal consumption for recursive preferences with local substitution -- the case of certainty
• Optimal consumption dynamics with non-concave habit-forming utility

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