Robust Portfolio Choice with Sticky Wages
From MaRDI portal
Publication:5097225
DOI10.1137/21M1429722zbMath1498.91377arXiv2104.12010OpenAlexW4292178215MaRDI QIDQ5097225
Margherita Zanella, Sara Biagini, Fausto Gozzi
Publication date: 22 August 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2104.12010
uncertaintyrobust optimizationsticky wagesMerton probleminfinite dimensional Hamilton-Jacobi-Bellmanstochastic delayed equations
Optimal stochastic control (93E20) Stochastic functional-differential equations (34K50) Portfolio theory (91G10)
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