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- W2753990537 abstract "AbstractIn this paper, we investigate the robust utility maximization problems under both preferences of extremely ambiguity loving and ambiguity aversion. By a fundamental martingale characterization technique on nonlinear expectations, optimal investment strategies are explicitly solved in a general non-Markovian framework via backward stochastic differential equations. Different with previous works in the literature assuming the convexity of the set of prior probability measures , our analysis are independent of the cardinality of . Our results show that extremely ambiguity-loving (resp. -aversion) investors will adopt the extremely aggressive (resp. conservative) investment strategy." @default.
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- W2753990537 date "2017-09-13" @default.
- W2753990537 modified "2023-09-28" @default.
- W2753990537 title "Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences" @default.
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- W2753990537 doi "https://doi.org/10.1080/17442508.2017.1371176" @default.
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