Robust optimization of consumption with random endowment

DOI10.1080/17442500701761347MaRDI QIDQ3541204zbMATH OpenOpenAlexFDO

Authors Wiebke Wittmüss

Publication date 25 November 2008

Published in Stochastics (Search for Journal in Brave)

Full work available at URL http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2006-063.pdf

zbMATH Keywords

duality theorymodel uncertaintyoptimal consumptionrisk measures

Mathematics Subject Classification ID

Minimax procedures in statistical decision theory (62C20) Utility theory (91B16)

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Cites work

• A control approach to robust utility maximization with logarithmic utility and time-consistent penalties
• A general version of the fundamental theorem of asset pricing
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Duality theory for optimal investments under model uncertainty
• scientific article; zbMATH DE number 5710727 (Why is no real title available?)
• Maxmin expected utility with non-unique prior
• Necessary and sufficient conditions in the problem of optimal investment in incomplete markets
• On the Neyman-Pearson problem for law-invariant risk measures and robust utility functionals.
• Optimal consumption from investment and random endowment in incomplete semimartingale markets.
• Optimal investment with random endowments in incomplete markets.
• Optimal Investment With Undiversifiable Income Risk
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach
• Optimum consumption and portfolio rules in a continuous-time model
• Optional decompositions under constraints
• Robust utility maximization for complete and incomplete markets
• Robust utility maximization in a stochastic factor model
• The asymptotic elasticity of utility functions and optimal investment in incomplete markets
• Utility maximization in incomplete markets with random endowment

Cited in

(13)

• Robust consumption-investment problems with random market coefficients
• Sensitivity of optimal consumption streams
• Compactness in spaces of inner regular measures and a general portmanteau lemma
• Robust utility maximization without model compactness
• Optimal stochastic control problem under model uncertainty with nonentropy penalty
• scientific article; zbMATH DE number 5372060 (Why is no real title available?)
• Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption
• Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals
• The numeraire portfolio for unbounded semimartingale
• Duality for optimal consumption with randomly terminating income
• A robust investment-consumption optimization problem in a switching regime interest rate setting
• Optimization of dynamic consumption streams under uncertainty
• The continuous-time pre-commitment KMM problem in incomplete markets

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