Robust consumption and portfolio choice for time varying investment opportunities
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Cites work
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- Optimal consumption and portfolio selection with stochastic differential utility
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences.
- Optimum consumption and portfolio rules in a continuous-time model
- Robust control and model misspecification
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Stochastic Differential Utility
- Strategic asset allocation in a continuous-time VAR model
Cited in
(53)- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Robust portfolio decisions for financial institutions
- Robust consumption and portfolio policies when asset prices can jump
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Consuming durable goods when stock markets jump: a strategic asset allocation approach
- 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
- Robust consumption and portfolio choice with derivatives trading
- 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
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Uncertainty and inside information
- 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 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 portfolio choice under uncertainty-aversion
- UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET
- Robust Preferences and Robust Portfolio Choice
- Consumption and Portfolio Decisions when Expected Returns are Time Varying
- Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
- 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
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- 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 portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Robust optimal proportional reinsurance and investment strategy for an insurer with Ornstein-Uhlenbeck process
- Diversification preferences in the theory of choice
- Household consumption-investment-insurance decisions with uncertain income and market ambiguity
- The relaxed investor and parameter uncertainty
- A note on robustness in Merton's model of intertemporal consumption and portfolio choice
- Household investment-consumption-insurance policies under the age-dependent risk preferences
- 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
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- Age-dependent robust strategic asset allocation with inflation-deflation hedging demand
- Alpha-robust investment-reinsurance strategy for a mean-variance insurer under a defaultable market
- Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
- Consumption and portfolio optimization solvable problems with recursive preferences
- Robustness meets co-jumps: optimal consumption and portfolio choice with derivatives
- Worst-case premiums and identification of homothetic robust Epstein-Zin utility under a quadratic model
- Optimal consumption and portfolio choice with ambiguous interest rates and volatility
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
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