Equilibrium strategies for alpha-maxmin expected utility maximization

DOI10.1137/18M1178542zbMATH Open1422.91806MaRDI QIDQ5227410FDOQ5227410

Authors: Bin Li, Peng Luo, Dewen Xiong 

Publication date: 26 July 2019

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

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zbMATH Keywords

dynamic inconsistencyrobust utility maximizationopen-loop equilibriumalpha-maxmin expected utilitysystem of quadratic BSDE

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Financial applications of other theories (91G80) Actuarial science and mathematical finance (91G99)

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Cited In (9)

• Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion
• Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution
• Who are I: time inconsistency and intrapersonal conflict and reconciliation
• Title not available (Why is that?)
• \(\alpha\)-robust optimal investment strategy for target benefit pension plans under default risk
• Competition in fund management and forward relative performance criteria
• Time-consistent lifetime portfolio selection under smooth ambiguity
• Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
• Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion

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