Robust Optimal Control for a Consumption-investment Problem
AbstractWe give an explicit PDE characterization for the solution of the problem of maximizing the utility of both terminal wealth and intertemporal consumption under model uncertainty. The underlying market model consists of a risky asset, whose volatility and long-term trend are driven by an external stochastic factor process. The robust utility functional is defined in terms of a HARA utility function with risk aversion parameter 0
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Bibliographic InfoPaper provided by Sonderforschungsbereich 649, Humboldt University, Berlin, Germany in its series SFB 649 Discussion Papers with number SFB649DP2007-026.
Date of creation: May 2007
Date of revision:
Optimal Consumption; Robust Control; Model Uncertainty; Incomplete Markets; Stochastic Volatility; Coherent Risk Measures; Convex Duality;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
This paper has been announced in the following NEP Reports:
- NEP-ALL-2007-05-26 (All new papers)
- NEP-DGE-2007-05-26 (Dynamic General Equilibrium)
- NEP-UPT-2007-05-26 (Utility Models & Prospect Theory)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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- Thomas Knispel, 2012. "Asymptotics of robust utility maximization," Papers 1203.1191, arXiv.org.
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