Optimal investment and consumption with forward preferences and uncertain parameters
Wing Fung Chong and
Gechun Liang ()
Papers from arXiv.org
This paper solves the optimal investment and consumption strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with model uncertainty. The market incompleteness arises from investment constraints of the agent, while the model uncertainty stems from drift and volatility processes for risky stocks in the financial market. The agent seeks her best and robust strategies via optimizing her robust forward investment and consumption preferences. Her robust forward preferences and the associated optimal strategies are represented by solutions of ordinary differential equations, when there are both drift and volatility uncertainties, and infinite horizon backward stochastic differential equations, coupled with ordinary differential equations, when there is only drift uncertainty.
Date: 2018-07, Revised 2019-06
New Economics Papers: this item is included in nep-knm and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5) Track citations by RSS feed
Downloads: (external link)
http://arxiv.org/pdf/1807.01186 Latest version (application/pdf)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1807.01186
Access Statistics for this paper
More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().