Robust consumption and portfolio choice for time varying investment opportunities
From MaRDI portal
Publication:666461
DOI10.1007/s10436-010-0164-4zbMath1233.91248OpenAlexW2004416084MaRDI QIDQ666461
Publication date: 8 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://www.research.manchester.ac.uk/portal/en/publications/robust-consumption-and-portfolio-choice-for-time-varying-investment-opportunities(e18ac689-52d3-4a1e-9f22-c4d017e41378).html
Related Items
Optimal consumption and portfolio choice with ambiguous interest rates and volatility ⋮ Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model ⋮ Robust optimal investment and reinsurance of an insurer under variance premium principle and default risk ⋮ Dynamic derivative strategies with stochastic interest rates and model uncertainty ⋮ Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility ⋮ Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond ⋮ Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon ⋮ Robust consumption and portfolio choice with derivatives trading ⋮ Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria ⋮ Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process ⋮ Household investment-consumption-insurance policies under the age-dependent risk preferences ⋮ Ambiguity in asset pricing and portfolio choice: a review of the literature ⋮ Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets ⋮ Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance ⋮ Robust equilibrium strategies for time-inconsistent stochastic optimal control problems with applications ⋮ Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps ⋮ Dynamic portfolio choice under ambiguity and regime switching mean returns ⋮ A robust consumption model when the intensity of technological progress is ambiguous ⋮ The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment ⋮ An efficient numerical method for the robust optimal investment problem with general utility functions ⋮ Robust portfolio decisions for financial institutions ⋮ The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices ⋮ Robust portfolio choice with stochastic interest rates ⋮ Portfolio management with stochastic interest rates and inflation ambiguity ⋮ Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity ⋮ Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion ⋮ Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate ⋮ Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity ⋮ Diversification preferences in the theory of choice ⋮ Robust optimal reinsurance and investment strategies for an AAI with multiple risks ⋮ Robust optimal investment and reinsurance problem for a general insurance company under Heston model ⋮ Dynamic portfolio selection with mispricing and model ambiguity ⋮ Time-consistency of optimal investment under smooth ambiguity ⋮ Robust consumption portfolio optimization with stochastic differential utility ⋮ A partially observed non-zero sum differential game of forward-backward stochastic differential equations and its application in finance ⋮ Robust optimal consumption-investment strategy with non-exponential discounting ⋮ Household consumption-investment-insurance decisions with uncertain income and market ambiguity ⋮ Uncertainty and inside information
Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Strategic asset allocation in a continuous-time VAR model
- Optimal consumption and portfolio selection with stochastic differential utility
- Robust control and model misspecification
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- Stochastic Differential Utility
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- Ambiguity, Risk, and Asset Returns in Continuous Time
