Robust optimal consumption-investment strategy with non-exponential discounting | Zendy

Jiaqin Wei | Zendy; Danping Li | Zendy; Yan Zeng | Zendy

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Robust optimal consumption-investment strategy with non-exponential discounting

Author(s) -

Jiaqin Wei,

Danping Li,

Yan Zeng

Publication year - 2018

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

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