Optimal consumption and portfolio choice with ambiguity and anticipation

Information Sciences

Volumn 177, Issue 23, 2007, Pages 5178-5190

  Fei, Weiyin ^a  

^a ANHUI POLYTECHNIC UNIVERSITY   (China)

Author keywords

Ambiguity; Anticipation; Enlargement of filtrations; Malliavin derivatives; Optimal consumption and portfolio; Recursive multiple priors utility

Indexed keywords

MATHEMATICAL MODELS; RISK ANALYSIS; UNCERTAINTY ANALYSIS;

LOGARITHMIC FELICITY FUNCTIONS; MALLIAVIN DERIVATIVES; OPTIMAL CONSUMPTION AND PORTFOLIOS; RECURSIVE MULTIPLE PRIORS UTILITY;

RECURSIVE FUNCTIONS;

EID: 34548652726     PISSN: 00200255     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ins.2006.07.028     Document Type: Article

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