Time-consistency of optimal investment under smooth ambiguity

DOI10.1016/j.ejor.2020.12.046zbMath1487.91109OpenAlexW2764196406MaRDI QIDQ2030310

Anne G. Balter, Antje Mahayni, Nikolaus Schweizer

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2020.12.046

zbMATH Keywords

robustnessfinancetime-consistencyoptimal investmentsmooth ambiguity

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (4)

Utilitarian versus neutralitarian design of endowment fund policies ⋮ Equilibrium investment with random risk aversion ⋮ Adaptive online portfolio selection with transaction costs ⋮ Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution

Cites Work

• Unnamed Item
• Unnamed Item
• A theory of Markovian time-inconsistent stochastic control in discrete time
• Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
• The robust Merton problem of an ambiguity averse investor
• Optimal mean-variance portfolio selection
• On time-inconsistent stochastic control in continuous time
• Continuous time mean variance asset allocation: a time-consistent strategy
• Robust consumption and portfolio choice for time varying investment opportunities
• The recursive approach to time inconsistency
• A two-person dynamic equilibrium under ambiguity
• Robust portfolios: contributions from operations research and finance
• Recursive smooth ambiguity preferences
• Maxmin expected utility with non-unique prior
• ARCH modeling in finance. A review of the theory and empirical evidence
• Multi-stage stochastic linear programs for portfolio optimization
• On pre-commitment aspects of a time-consistent strategy for a mean-variance investor
• Continuous-time smooth ambiguity preferences
• A review on ambiguity in stochastic portfolio optimization
• Ambiguity aversion and model misspecification: an economic perspective
• Robust time-inconsistent stochastic control problems
• Ambiguity in asset pricing and portfolio choice: a review of the literature
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
• Recent developments in robust portfolios with a worst-case approach
• Robust multiperiod portfolio management in the presence of transaction costs
• Robust asset allocation
• Worst-case robust decisions for multi-period mean-variance portfolio optimization
• Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
• Portfolio Choices and Asset Prices: The Comparative Statics of Ambiguity Aversion
• Ambiguity, Learning, and Asset Returns
• Theory and Applications of Robust Optimization
• Consumption and Portfolio Decisions when Expected Returns are Time Varying
• Ambiguity and the historical equity premium
• The Role of Learning in Dynamic Portfolio Decisions *
• Failing to Foresee the Updating of the Reference Point Leads to Time-Inconsistent Investment
• ON TIME CONSISTENCY FOR MEAN-VARIANCE PORTFOLIO SELECTION
• A Smooth Model of Decision Making under Ambiguity
• Robustness
• Ambiguity, Risk, and Asset Returns in Continuous Time
• The relaxed investor and parameter uncertainty

This page was built for publication: Time-consistency of optimal investment under smooth ambiguity