Robust consumption-investment problem on infinite horizon
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Publication:901248
DOI10.1007/s00245-014-9287-8zbMath1410.91434OpenAlexW1988027697WikidataQ59406230 ScholiaQ59406230MaRDI QIDQ901248
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
portfolio optimizationrobust optimizationmodel uncertaintystochastic differential gamesoptimal consumption
Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
Related Items (8)
Epstein‐Zin utility maximization on a random horizon ⋮ 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 ⋮ Stability Analysis of Optimization Problems with $k$th order stochastic and distributionally robust dominance constraints induced by full random recourse ⋮ Existence results for Isaacs equations with local conditions and related semilinear Cauchy problems ⋮ On the parabolic equation for portfolio problems ⋮ Optimal pension fund management under risk and uncertainty: the case study of Poland
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