The robust Merton problem of an ambiguity averse investor

DOI10.1007/s11579-016-0168-6zbMath1404.91240arXiv1502.02847OpenAlexW72386360MaRDI QIDQ506375

Sara Biagini, Mustafa Çelebi Pinar

Publication date: 31 January 2017

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1502.02847

zbMATH Keywords

robust optimizationvolatility uncertaintyHamilton-Jacobi-Bellman-Isaacs equationellipsoidal uncertainty on mean returnsMerton problem

Mathematics Subject Classification ID

Minimax problems in mathematical programming (90C47) Portfolio theory (91G10) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91)

Related Items

Robust utility maximization under model uncertainty via a penalization approach, Optimal portfolios in the presence of stress scenarios a worst-case approach, Robust utility maximizing strategies under model uncertainty and their convergence, Optimal consumption and portfolio choice with ambiguous interest rates and volatility, OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY, Robust control in a rough environment, Robust Utility Maximization in Discrete-Time Markets with Friction, A simple robust asset pricing model under statistical ambiguity, Hedging under generalized good-deal bounds and model uncertainty, Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity, Robust Portfolio Choice with Sticky Wages, Robust utility maximization with nonlinear continuous semimartingales, Distributionally robust portfolio maximization and marginal utility pricing in one period financial markets, Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach, Portfolio selection under uncertainty: a new methodology for computing relative‐robust solutions, An extended McKean-Vlasov dynamic programming approach to robust equilibrium controls under ambiguous covariance matrix, Markov decision processes under model uncertainty, Deep signature FBSDE algorithm, Bankruptcy and retirement: a comparison in an optimal stopping times ordered framework, Robust portfolio decisions for financial institutions, Quantifying ambiguity bounds via time-consistent sets of indistinguishable models, Adaptive Robust Control in Continuous Time, Portfolio selections under mean-variance preference with multiple priors for means and variances, Robust utility maximisation in markets with transaction costs, Nonconcave robust optimization with discrete strategies under Knightian uncertainty, Robust time-consistent mean-variance portfolio selection problem with multivariate stochastic volatility, Time-consistency of optimal investment under smooth ambiguity, Pricing and hedging in incomplete markets with model uncertainty, Robust time-inconsistent stochastic control problems, Good deal hedging and valuation under combined uncertainty about drift and volatility, Duality theory for robust utility maximisation, Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs, G-expected utility maximization with ambiguous equicorrelation, Consumption-investment problem with pathwise ambiguity under logarithmic utility, ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT, Robust utility maximization of terminal wealth with drift and volatility uncertainty, OPTIMAL PORTFOLIO CHOICE WITH CRASH AND DEFAULT RISK

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Robust portfolios: contributions from operations research and finance
• An exploration of the effects of pessimism and doubt on asset returns.
• Delegated portfolio management under ambiguity aversion
• Robust profit opportunities in risky financial portfolios
• UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME
• Nonlinear Lévy processes and their characteristics
• Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
• Robust utility maximization with unbounded random endowment
• Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
• Portfolio Selection with Robust Estimation
• ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES
• Robust Mean-Covariance Solutions for Stochastic Optimization
• Robust utility maximization in a stochastic factor model
• Robust Preferences and Robust Portfolio Choice
• Optimal Investment
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Robust Portfolio Selection Problems