Robust consumption portfolio optimization with stochastic differential utility
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Publication:2065170
DOI10.1016/j.automatica.2021.109835zbMath1480.91272arXiv2103.04688OpenAlexW3192437552MaRDI QIDQ2065170
Publication date: 7 January 2022
Published in: Automatica (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2103.04688
robust controlstochastic differential gamesHeston modelnon-Lipschitz conditionstochastic differential utilityHJB(I) equation
Sensitivity (robustness) (93B35) Applications of game theory (91A80) Optimal stochastic control (93E20) Stochastic games, stochastic differential games (91A15) Portfolio theory (91G10)
Related Items (5)
Co-jumps and recursive preferences in portfolio choices ⋮ On asymptotic log-optimal portfolio optimization ⋮ Consumption and portfolio optimization with generalized stochastic differential utility in incomplete markets ⋮ Robust Control Problems of BSDEs Coupled with Value Functions ⋮ Equilibrium multi-agent model with heterogeneous views on fundamental risks
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