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- W2033755209 abstract "We first propose and characterize a model of α-maxmin expected utility (α-MEU), differentiating ambiguity and ambiguity attitude. A key feature of our model is that it achieves a separation between ambiguity, identified as a characteristic of the decision-maker's subjective beliefs, and ambiguity attitude, a characteristic of the decision-maker's tastes. This article, adopting the recursive multiple-priors utility, gives the representation of α-MEU. Then, the optimal consumption and portfolio is studied under the general framework. Finally, the optimal portfolio is derived for two special cases of utility. The mathematical techniques to the martingale, the Malliavin calculus, and the backward stochastic differential equation (BSDE) are utilized." @default.
- W2033755209 created "2016-06-24" @default.
- W2033755209 creator A5038372877 @default.
- W2033755209 date "2009-07-22" @default.
- W2033755209 modified "2023-09-25" @default.
- W2033755209 title "Optimal Portfolio Choice Based on α-MEU Under Ambiguity" @default.
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- W2033755209 doi "https://doi.org/10.1080/15326340903088826" @default.
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