Optimal consumption and portfolio choice with ambiguity and anticipation

DOI10.1016/j.ins.2006.07.028zbMath1305.91216OpenAlexW2021195129MaRDI QIDQ2456486

Weiyin Fei

Publication date: 18 October 2007

Published in: Information Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ins.2006.07.028

zbMATH Keywords

ambiguityanticipationenlargement of filtrationsoptimal consumption and portfolioMalliavin derivativesrecursive multiple-priors utility

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic integrals (60H05) Stochastic calculus of variations and the Malliavin calculus (60H07) Portfolio theory (91G10)

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