Journal article
Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
Stochastics (Abingdon, Eng. : 2005), Vol.90(4), pp.524-538
01/01/2018
DOI: 10.1080/17442508.2017.1371176
Abstract
In this paper, we investigate the robust utilitymaximization problems under both preferences of extremely ambiguity loving and ambiguity aversion. By a fundamental martingale characterization technique on nonlinear expectations, optimal investment strategies are explicitly solved in a general non- Markovian framework via backward stochastic differential equations. Different with previous works in the literature assuming the convexity of the set of prior probabilitymeasuresQ, our analysis are independent of the cardinality ofQ. Our results show that extremely ambiguity- loving ( resp. - aversion) investors will adopt the extremely aggressive ( resp. conservative) investment strategy.
Details
- Title: Subtitle
- Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
- Creators
- Bin Li - University of WaterlooLihe Wang - Shanghai Jiao Tong UniversityDewen Xiong - Shanghai Jiao Tong University
- Resource Type
- Journal article
- Publication Details
- Stochastics (Abingdon, Eng. : 2005), Vol.90(4), pp.524-538
- Publisher
- TAYLOR & FRANCIS LTD
- DOI
- 10.1080/17442508.2017.1371176
- ISSN
- 1744-2508
- eISSN
- 1744-2516
- Number of pages
- 15
- Grant note
- DOI: 10.13039/501100001809, name: National Natural Science Foundation of China, award: 11671257; DOI: 10.13039/501100001809, name: National Natural Science Foundation of China, award: 11671257; DOI: 10.13039/501100000038, name: Natural Sciences and Engineering Research Council of Canada, award: 05828; name: Natural Science of Shanghai, award: 13ZR1422000; name: Natural Sciences and Engineering Re- search Council of Canada, award: 05828; name: Natural Science of Shanghai, award: 13ZR1422000; DOI: 10.13039/501100000725, name: Times Higher Education, award: 13ZR1422000; DOI: 10.13039/501100004490, name: University of Waterloo, award: 10.13039/501100001809
- Language
- English
- Date published
- 01/01/2018
- Academic Unit
- Mathematics
- Record Identifier
- 9984241050202771
Metrics
16 Record Views