Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
DOI10.1080/17442508.2017.1371176zbMATH Open1498.91393OpenAlexW2753990537MaRDI QIDQ5085847FDOQ5085847
Authors: Bin Li, Lihe Wang, Dewen Xiong 
Publication date: 30 June 2022
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/17442508.2017.1371176
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ambiguitybackward stochastic differential equationsnonlinear expectationsrobust utility maximizationmartingale characterization
Portfolio theory (91G10) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Martingales with continuous parameter (60G44) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cites Work
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- Risk, ambiguity and the Savage axioms
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- Portfolio optimization under model uncertainty and BSDE games
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- Intertemporal Asset Pricing under Knightian Uncertainty
- Optimal investment under model uncertainty in nondominated models
- Robust utility maximization for a diffusion market model with misspecified coefficients
- Robust utility maximization in nondominated models with 2BSDE: the uncertain volatility model
- Probabilistic Sophistication and Multiple Priors
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Robust utility maximization in a stochastic factor model
- Preference and belief: ambibiguity and competence in choice under uncertainty
- Additivity with multiple priors
- Utility maximization under model uncertainty in discrete time
Cited In (10)
- Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion
- G-expected utility maximization with ambiguous equicorrelation
- Robustness and Ambiguity Aversion in General Equilibrium *
- Ambiguity aversion in the small and in the large for weighted linear utility
- The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors
- More on random utility models with bounded ambiguity
- Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
- Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion
- Equilibrium strategies for alpha-maxmin expected utility maximization
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
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