Open AccessRobust optimal consumption-investment strategy with non-exponential discounting
Author(s) -
Jiaqin Wei,
Danping Li,
Yan Zeng
Publication year - 2020
Publication title -
journal of industrial and management optimization
Language(s) - Uncategorized
Resource type - Journals
SCImago Journal Rank - 0.325
H-Index - 32
eISSN - 1553-166X
pISSN - 1547-5816
DOI - 10.3934/jimo.2018147
Subject(s) - exponential utility , discounting , exponential function , ambiguity , logarithm , consumption (sociology) , investment (military) , dynamic programming , economics , mathematical economics , ambiguity aversion , asset (computer security) , mathematical optimization , stochastic discount factor , econometrics , bellman equation , capital asset pricing model , computer science , mathematics , finance , mathematical analysis , social science , computer security , sociology , politics , political science , law , programming language