Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity
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Publication:5097217
DOI10.1137/21M1440189zbMath1503.91104OpenAlexW4289343105MaRDI QIDQ5097217
Publication date: 22 August 2022
Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1137/21m1440189
\(G\)-expectationdual approachconsumption-investment problemsparse portfolioleast exposure to ambiguityreturn ambiguity in primalvolatility ambiguity in dual
Optimal stochastic control (93E20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10) Nonlinear processes (e.g., (G)-Brownian motion, (G)-Lévy processes) (60G65)
Related Items (4)
Robust utility maximization with nonlinear continuous semimartingales ⋮ Robust Retirement with Return Ambiguity: Optimal \(\boldsymbol{G}\)-Stopping Time in Dual Space ⋮ Robust retirement and life insurance with inflation risk and model ambiguity ⋮ Optimal job switching and retirement decision
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