Robust optimization of consumption with random endowment
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Publication:3541204
DOI10.1080/17442500701761347zbMath1153.91413OpenAlexW2115163282MaRDI QIDQ3541204
Publication date: 25 November 2008
Published in: Stochastics (Search for Journal in Brave)
Full work available at URL: http://sfb649.wiwi.hu-berlin.de/papers/pdf/SFB649DP2006-063.pdf
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Related Items (6)
A robust investment-consumption optimization problem in a switching regime interest rate setting ⋮ OPTIMAL STOCHASTIC CONTROL PROBLEM UNDER MODEL UNCERTAINTY WITH NONENTROPY PENALTY ⋮ Necessary and sufficient conditions in the problem of optimal investment with intermediate consumption ⋮ Risk- and ambiguity-averse portfolio optimization with quasiconcave utility functionals ⋮ Robust Utility Maximization without Model Compactness ⋮ Compactness in spaces of inner regular measures and a general portmanteau lemma
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