Optimal investment and consumption problems under correlation ambiguity

DOI10.1093/imaman/dpz002OpenAlexW2917149254MaRDI QIDQ5125034

Hoi Ying Wong, Bingyan Han

Publication date: 30 September 2020

Published in: IMA Journal of Management Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1093/imaman/dpz002

zbMATH Keywords

robust control\(G\)-expectationinvestment and consumptioncorrelation ambiguity

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX) Game theory, economics, finance, and other social and behavioral sciences (91-XX)

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