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

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

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)

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Backward Stochastic Differential Equations in Finance
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Adapted solution of a backward stochastic differential equation
• Hedging contingent claims with constrained portfolios
• Filtration-consistent nonlinear expectations and related \(g\)-expectations
• ARBITRAGE IN SECURITIES MARKETS WITH SHORT-SALES CONSTRAINTS
• Title not available (Why is that?)
• A generalization of a problem of Steinhaus
• Calcul stochastique et problèmes de martingales
• Hedging and liquidation under transaction costs in currency markets
• Optimal Consumption and Portfolio Rules with Durability and Local Substitution
• On an integral equation for the free-boundary of stochastic, irreversible investment problems
• On irreversible investment
• On intertemporal preferences in continuous time. The case of certainty
• Non-time additive utility optimization -- the case of certainty
• Optimal consumption choice with intertemporal substitution
• Portfolio optimization in a Lévy market with intertemporal substitution and transaction costs
• Optimal portfolio management rules in a non-Gaussian market with durability and intertemporal substitution
• A stochastic representation theorem with applications to optimization and obstacle problems.
• Intertemporal Preferences for Uncertain Consumption: A Continuous Time Approach
• Utility Maximization with Habit Formation: Dynamic Programming and Stochastic PDEs
• Optimal consumption choice with intolerance for declining standard of living
• Ratchet consumption over finite and infinite planning horizons
• Equilibria Under Knightian Price Uncertainty
• Convex duality for stochastic singular control problems
• Optimal portfolio selection with consumption and nonlinear integro-differential equations with gradient constraint: A viscosity solution approach
• A singular stochastic control problem in an unbounded domain
• A Knightian irreversible investment problem

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

   Recommendations

• Optimal consumption choice with intertemporal substitution 👍 👎
• Title not available (Why is that?) 👍 👎
• Optimal consumption strategies under model uncertainty 👍 👎
• Optimal consumption and portfolio choice with ambiguous interest rates and volatility 👍 👎
• Title not available (Why is that?) 👍 👎

This page was built for publication: Optimal consumption with Hindy–Huang–Kreps preferences under nonlinear expectations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q5055366)