Robust consumption-investment problem on infinite horizon

DOI10.1007/S00245-014-9287-8MaRDI QIDQ901248zbMATH OpenOpenAlexWikidataFDO

Authors Dariusz Zawisza

Publication date 23 December 2015

Published in Applied Mathematics and Optimization (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/s00245-014-9287-8

zbMATH Keywords

model uncertaintyoptimal consumptionportfolio optimizationrobust optimizationstochastic differential games

Mathematics Subject Classification ID

Portfolio theory (91G10) Stochastic games, stochastic differential games (91A15) Optimal stochastic control (93E20)

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Cites work

• scientific article; zbMATH DE number 3384565 (Why is no real title available?)
• A note on robustness in Merton's model of intertemporal consumption and portfolio choice
• An Application of Stochastic Control Theory to Financial Economics
• An optimal consumption model with stochastic volatility
• Asymptotics of robust utility maximization
• Controlled Markov processes and viscosity solutions
• Maxmin expected utility with non-unique prior
• Minimax Theorems
• On dynamic measure of risk
• On the Hamilton-Jacobi-Bellman equation for an optimal consumption problem: I. Existence of solution
• Portfolio optimization models on infinite-time horizon
• Robust control and model misspecification
• Robust optimal control for a consumption-investment problem
• Robust portfolio selection under exponential preferences
• Robust utility maximization in a stochastic factor model
• Robustness and Ambiguity Aversion in General Equilibrium *
• STOCHASTIC PORTFOLIO OPTIMIZATION WITH LOG UTILITY
• Target achieving portfolio under model misspecification: quadratic optimization framework
• The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices

Cited in

(8)

• Epstein‐Zin utility maximization on a random horizon
• Stability analysis of optimization problems with \(k\)th order stochastic and distributionally robust dominance constraints induced by full random recourse
• Optimal pension fund management under risk and uncertainty: the case study of Poland
• Existence results for Isaacs equations with local conditions and related semilinear Cauchy problems
• On the parabolic equation for portfolio problems
• Optimal investment in a general stochastic factor framework under model uncertainty
• A robust consumption model when the intensity of technological progress is ambiguous
• Robust portfolio decisions for financial institutions

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