Optimal consumption strategies under model uncertainty
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Publication:5696310
DOI10.1524/STND.2005.23.1.1zbMATH Open1138.91422OpenAlexW2287678325MaRDI QIDQ5696310FDOQ5696310
Christian Burgert, Ludger Rüschendorf
Publication date: 18 October 2005
Published in: Statistics & Risk Modeling (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/bb01f6a0fb319dad5f682f3759dd8f72f8424341
Utility theory (91B16) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30)
Cited In (18)
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- Optimal consumption and portfolio choice with ambiguity and anticipation
- OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY
- A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
- Robust optimal control for a consumption-investment problem
- Optimal consumption policies in illiquid markets
- A simple model of optimum life-cycle consumption with earnings uncertainty
- Optimal consumption choices with anticipation: Methods of martingale
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- Robust utility maximization without model compactness
- Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
- Optimal saving under Poisson uncertainty
- Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
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- LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS
- Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
- Optimal consumption under uncertainty, liquidity constraints, and bounded rationality
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
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