G-expected utility maximization with ambiguous equicorrelation
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Publication:4991082
DOI10.1080/14697688.2020.1777321zbMath1466.91116OpenAlexW2969979479MaRDI QIDQ4991082
Publication date: 2 June 2021
Published in: Quantitative Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/14697688.2020.1777321
\(G\)-expectationsystem of polynomial equationsHamilton-Jacobi-Bellman-Isaacs equationexpected utility maximizationworst-case optimizationambiguous equicorrelation
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Uses Software
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