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Robust consumption decisions under ambiguity for regime switching mean returns
Liu, Hening - 2009
This paper examines a continuous-time intertemporal consumption and portfolio choice problem for an investor with Du e and Epstein (1992a)'s recursive preferences who worries about model misspecification (model uncertainty) and wants to seek robust decision rules. The expected excess return of a...
Persistent link: https://www.econbiz.de/10003987303
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Robust consumption and portfolio choice for time varying investment opportunities
Liu, Hening - In: Annals of finance 6 (2010) 4, pp. 435-454
Persistent link: https://www.econbiz.de/10008652613
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Dynamic portfolio and consumption decisions under ambiguity for time varying investment opportunities
Liu, Hening - 2008
Persistent link: https://www.econbiz.de/10011573158
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New sufficient conditions for (s, S) policies to be optimal in systems with multiple uncertainties
Chen, Lucy Gongtao; Robinson, Lawrence W.; Roundy, Robin O. - In: Operations research 63 (2015) 1, pp. 186-197
Persistent link: https://www.econbiz.de/10010519496
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Optimal lifetime consumption and investment under a drawdown constraint
Elie, Romuald; Touzi, Nizar - In: Finance and stochastics 12 (2008) 3, pp. 299-330
Persistent link: https://www.econbiz.de/10003899189
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Explaining the anomalies of the exponential discouted utility model
Al-Nowaihi, Ali (contributor); Dhami, Sanjit S. (contributor) - 2007
Persistent link: https://www.econbiz.de/10003546356
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Utility maximization, risk aversion, and stochastic dominance
Beiglböck, Mathias; Muhle-Karbe, Johannes; Temme, Johannes - 2011
at the expense of a more widespread distribution. Dybvig and Wang [J. Econ. Theory, 2011, to appear] find that this idea …
Persistent link: https://www.econbiz.de/10009009482
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Describing the dynamics of distributions in search and matching models by Fokker-Planck equations
Bayer, Christian; Wälde, Klaus - 2011
Persistent link: https://www.econbiz.de/10009355828
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On the specification of the asset evolution equation in consumption models
Azar, Samih Antoine - In: Applied economics letters 19 (2012) 1/3, pp. 113-116
Persistent link: https://www.econbiz.de/10009412670
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Applied intertemporal optimization : textbook and solutions manual
Wälde, Klaus - 2012 - Ed. 1.2 plus
Persistent link: https://www.econbiz.de/10009722207