Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences

DOI10.1080/17442508.2017.1371176zbMath1498.91393OpenAlexW2753990537MaRDI QIDQ5085847

Bin Li, Lihe Wang, Dewen Xiong

Publication date: 30 June 2022

Published in: Stochastics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/17442508.2017.1371176

zbMATH Keywords

backward stochastic differential equationsambiguitynonlinear expectationsrobust utility maximizationmartingale characterization

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Martingales with continuous parameter (60G44) Portfolio theory (91G10)

Related Items (5)

The optimal portfolio of \(\alpha\)-maxmin mean-VaR problem for investors ⋮ Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion ⋮ Optimal reinsurance under the \(\alpha\)-maxmin mean-variance criterion ⋮ Mean-CVaR portfolio selection model with ambiguity in distribution and attitude ⋮ Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization

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