Robust consumption-investment with return ambiguity: a dual approach with volatility ambiguity
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- scientific article; zbMATH DE number 4010171 (Why is no real title available?)
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Cited in
(15)- Robust risk-taking under a sustainable constraint
- Consumption-investment problem with pathwise ambiguity under logarithmic utility
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Robust retirement and life insurance with inflation risk and model ambiguity
- Optimal job switching and retirement decision
- Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
- Optimal investment-consumption choice with portfolio constraint in ambiguity market
- Robust consumption-investment problem under CRRA and CARA utilities with time-varying confidence sets
- Robust utility maximization with nonlinear continuous semimartingales
- Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space
- Duality in optimal consumption-investment problems with alternative data
- Affine models with path-dependence under parameter uncertainty and their application in finance
- Irreversible consumption habit under ambiguity: singular control and optimal G-stopping time
- Optimal investment, retirement, and life insurance with consumption ratcheting and time-inhomogeneous utility
- Numerical method for nonlinear Kolmogorov PDEs via sensitivity analysis
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