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

DOI10.1017/APR.2022.5MaRDI QIDQ5055366zbMATH OpenOpenAlexFDO

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

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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