The robust Merton problem of an ambiguity averse investor
نویسندگان
چکیده
منابع مشابه
the problem of divine hiddenness
این رساله به مساله احتجاب الهی و مشکلات برهان مبتنی بر این مساله میپردازد. مساله احتجاب الهی مساله ای به قدمت ادیان است که به طور خاصی در مورد ادیان ابراهیمی اهمیت پیدا میکند. در ادیان ابراهیمی با توجه به تعالی خداوند و در عین حال خالقیت و حضور او و سخن گفتن و ارتباط شهودی او با بعضی از انسانهای ساکن زمین مساله ای پدید میاید با پرسشهایی از قبیل اینکه چرا ارتباط مستقیم ویا حداقل ارتباط وافی به ب...
15 صفحه اولOn the Robust Merton Problem with Nondominated Priors
We give explicit solutions for utility optimization problems in the presence of Knightian uncertainty in continuous time. We solve the robust optimization problem explicitly both when the investor’s utility is of CRRA and of CARA type. We show that our problem formulation allows us to apply Sion’s min max theorem and to solve the dual problem explicitly. Mathematics Subject Classification: 91B2...
متن کاملinvestigating the relationship between ambiguity tolerance and willingness to translate of iranian prospective english translators: an sem revalidation study
cognitive studies of translation process have recently been awarded a great deal of attention. there exists a psychological angle to almost all translation activities. the present study, thus, deals with analysing the relationships between iranian prospective translators tolerance for ambiguity (ta) and their willingness to translate (wtt). the research was conducted as a mixed methods study, d...
Equilibrium in an ambiguity-averse mean-variance investors market
Keywords: Robust optimization Mean–variance portfolio theory Ellipsoidal uncertainty Equilibrium price system a b s t r a c t In a financial market composed of n risky assets and a riskless asset, where short sales are allowed and mean–variance investors can be ambiguity averse, i.e., diffident about mean return estimates where confidence is represented using ellipsoidal uncertainty sets, we de...
متن کاملAnticipatory feelings may generate ambiguity averse preferences
We consider the impact of anticipatory feelings on behavior. We focus on a very simple type of anticipatory feelings: we assume that anticipatory feelings are based on future expected utility. Although this modeling may not reflect the complexity of anticipatory emotions, it has an interesting consequence: We show that when there are diminishing returns in anticipatory feelings and additive sep...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Mathematics and Financial Economics
سال: 2016
ISSN: 1862-9679,1862-9660
DOI: 10.1007/s11579-016-0168-6