Robust risk-taking under a sustainable constraint

DOI10.1016/J.ORL.2022.02.004OpenAlexW4212860796MaRDI QIDQ2157888

Deqing Luo, Jingzhou Yan, Xiao-ping Wu, Jiawen Xu

Publication date: 22 July 2022

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2022.02.004

zbMATH Keywords

ambiguitywelfare lossrisk-takingsustainable constraint

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Cites Work

• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Ambiguity sharing and the lack of relative performance evaluation
• Incomplete markets, Knightian uncertainty and high-water marks
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Robust dynamic pairs trading with cointegration
• Stochastic Differential Utility
• Robust Contracts in Continuous Time
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Ambiguity, Risk, and Asset Returns in Continuous Time

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