Robust consumption-investment problem on infinite horizon
DOI10.1007/S00245-014-9287-8zbMATH Open1410.91434OpenAlexW1988027697WikidataQ59406230 ScholiaQ59406230MaRDI QIDQ901248FDOQ901248
Authors: Dariusz Zawisza 
Publication date: 23 December 2015
Published in: Applied Mathematics and Optimization (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s00245-014-9287-8
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model uncertaintyoptimal consumptionportfolio optimizationrobust optimizationstochastic differential games
Portfolio theory (91G10) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)
Cites Work
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- Controlled Markov processes and viscosity solutions
- An optimal consumption model with stochastic volatility
- Minimax Theorems
- Robust portfolio selection under exponential preferences
- An Application of Stochastic Control Theory to Financial Economics
- STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
- Portfolio optimization models on infinite-time horizon
- On dynamic measure of risk
- Robust optimal control for a consumption-investment problem
- Robust utility maximization in a stochastic factor model
- The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices
- Robust control and model misspecification
- Asymptotics of robust utility maximization
- Robustness and Ambiguity Aversion in General Equilibrium *
- A note on robustness in Merton's model of intertemporal consumption and portfolio choice
- Title not available (Why is that?)
- On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: I. Existence of solution
- Target achieving portfolio under model misspecification: quadratic optimization framework
Cited In (8)
- Existence results for Isaacs equations with local conditions and related semilinear Cauchy problems
- Epstein‐Zin utility maximization on a random horizon
- Robust portfolio decisions for financial institutions
- Optimal investment in a general stochastic factor framework under model uncertainty
- On the parabolic equation for portfolio problems
- Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
- A robust consumption model when the intensity of technological progress is ambiguous
- Optimal pension fund management under risk and uncertainty: the case study of Poland
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