Matches in SemOpenAlex for { <https://semopenalex.org/work/W4221161087> ?p ?o ?g. }
Showing items 1 to 81 of
81
with 100 items per page.
- W4221161087 abstract "This paper considers a robust time-consistent mean-variance-skewness portfolio selection problem for an ambiguity-averse investor by taking into account wealth-dependent risk aversion and wealth-dependent skewness preference as well as model uncertainty. The robust equilibrium investment strategy and corresponding equilibrium value function are characterized for such a problem by employing an extended Hamilton-Jacobi-Bellman-Isaacs (HJBI) system via a game theoretic approach. Furthermore, the robust equilibrium investment strategy and corresponding equilibrium value function are obtained in semi-closed form for a special robust time-consistent mean-variance-skewness portfolio selection problem. Finally, some numerical experiments are provided to indicate several new findings concerned with the robust equilibrium investment strategy and the utility losses." @default.
- W4221161087 created "2022-04-03" @default.
- W4221161087 creator A5009578658 @default.
- W4221161087 creator A5052026997 @default.
- W4221161087 creator A5058932008 @default.
- W4221161087 creator A5078621339 @default.
- W4221161087 date "2022-01-17" @default.
- W4221161087 modified "2023-10-14" @default.
- W4221161087 title "Robust equilibrium strategy for mean-variance-skewness portfolio selection problem" @default.
- W4221161087 doi "https://doi.org/10.48550/arxiv.2201.06233" @default.
- W4221161087 hasPublicationYear "2022" @default.
- W4221161087 type Work @default.
- W4221161087 citedByCount "0" @default.
- W4221161087 crossrefType "posted-content" @default.
- W4221161087 hasAuthorship W4221161087A5009578658 @default.
- W4221161087 hasAuthorship W4221161087A5052026997 @default.
- W4221161087 hasAuthorship W4221161087A5058932008 @default.
- W4221161087 hasAuthorship W4221161087A5078621339 @default.
- W4221161087 hasBestOaLocation W42211610871 @default.
- W4221161087 hasConcept C103144560 @default.
- W4221161087 hasConcept C106159729 @default.
- W4221161087 hasConcept C121955636 @default.
- W4221161087 hasConcept C122342681 @default.
- W4221161087 hasConcept C126255220 @default.
- W4221161087 hasConcept C127447990 @default.
- W4221161087 hasConcept C129915516 @default.
- W4221161087 hasConcept C144237770 @default.
- W4221161087 hasConcept C14646407 @default.
- W4221161087 hasConcept C149782125 @default.
- W4221161087 hasConcept C154945302 @default.
- W4221161087 hasConcept C162324750 @default.
- W4221161087 hasConcept C175444787 @default.
- W4221161087 hasConcept C181622380 @default.
- W4221161087 hasConcept C196083921 @default.
- W4221161087 hasConcept C199360897 @default.
- W4221161087 hasConcept C202655437 @default.
- W4221161087 hasConcept C205706631 @default.
- W4221161087 hasConcept C2780522230 @default.
- W4221161087 hasConcept C2780821815 @default.
- W4221161087 hasConcept C33923547 @default.
- W4221161087 hasConcept C41008148 @default.
- W4221161087 hasConcept C81917197 @default.
- W4221161087 hasConceptScore W4221161087C103144560 @default.
- W4221161087 hasConceptScore W4221161087C106159729 @default.
- W4221161087 hasConceptScore W4221161087C121955636 @default.
- W4221161087 hasConceptScore W4221161087C122342681 @default.
- W4221161087 hasConceptScore W4221161087C126255220 @default.
- W4221161087 hasConceptScore W4221161087C127447990 @default.
- W4221161087 hasConceptScore W4221161087C129915516 @default.
- W4221161087 hasConceptScore W4221161087C144237770 @default.
- W4221161087 hasConceptScore W4221161087C14646407 @default.
- W4221161087 hasConceptScore W4221161087C149782125 @default.
- W4221161087 hasConceptScore W4221161087C154945302 @default.
- W4221161087 hasConceptScore W4221161087C162324750 @default.
- W4221161087 hasConceptScore W4221161087C175444787 @default.
- W4221161087 hasConceptScore W4221161087C181622380 @default.
- W4221161087 hasConceptScore W4221161087C196083921 @default.
- W4221161087 hasConceptScore W4221161087C199360897 @default.
- W4221161087 hasConceptScore W4221161087C202655437 @default.
- W4221161087 hasConceptScore W4221161087C205706631 @default.
- W4221161087 hasConceptScore W4221161087C2780522230 @default.
- W4221161087 hasConceptScore W4221161087C2780821815 @default.
- W4221161087 hasConceptScore W4221161087C33923547 @default.
- W4221161087 hasConceptScore W4221161087C41008148 @default.
- W4221161087 hasConceptScore W4221161087C81917197 @default.
- W4221161087 hasLocation W42211610871 @default.
- W4221161087 hasOpenAccess W4221161087 @default.
- W4221161087 hasPrimaryLocation W42211610871 @default.
- W4221161087 hasRelatedWork W1519721627 @default.
- W4221161087 hasRelatedWork W1595456375 @default.
- W4221161087 hasRelatedWork W1988134737 @default.
- W4221161087 hasRelatedWork W2991811088 @default.
- W4221161087 hasRelatedWork W3019462186 @default.
- W4221161087 hasRelatedWork W3040909684 @default.
- W4221161087 hasRelatedWork W3122807784 @default.
- W4221161087 hasRelatedWork W3125248773 @default.
- W4221161087 hasRelatedWork W4221161087 @default.
- W4221161087 hasRelatedWork W4289780624 @default.
- W4221161087 isParatext "false" @default.
- W4221161087 isRetracted "false" @default.
- W4221161087 workType "article" @default.