Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets (Q5855948)
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scientific article; zbMATH DE number 7326775
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets |
scientific article; zbMATH DE number 7326775 |
Statements
Robust consumption‐investment problem under CRRA and CARA utilities with time‐varying confidence sets (English)
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23 March 2021
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deterministic-to-stochastic paradigm
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Knightian uncertainty
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measurable saddle point
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minimax problem
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robust Merton problem
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time-varying confidence sets
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