Optimal consumption and portfolio choice with ambiguous interest rates and volatility

DOI10.1007/s00199-020-01306-9zbMath1484.91434OpenAlexW3086740916MaRDI QIDQ825169

Frank Riedel, Qian Lin

Publication date: 17 December 2021

Published in: Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00199-020-01306-9

zbMATH Keywords

uncertaintyHamilton-Jacobi-Bellman equationstochastic optimizationsupermartingalesportfolio choicelife-cycle model: Merton problem

Mathematics Subject Classification ID

Applications of stochastic analysis (to PDEs, etc.) (60H30) Interest rates, asset pricing, etc. (stochastic models) (91G30) Portfolio theory (91G10) Hamilton-Jacobi equations in optimal control and differential games (49L12)

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