On the Robust Merton Problem with Nondominated Priors
نویسنده
چکیده
We give explicit solutions for utility optimization problems in the presence of Knightian uncertainty in continuous time. We solve the robust optimization problem explicitly both when the investor’s utility is of CRRA and of CARA type. We show that our problem formulation allows us to apply Sion’s min max theorem and to solve the dual problem explicitly. Mathematics Subject Classification: 91B28;93E20
منابع مشابه
Optimal actions in problems with convex loss functions
Researches in Bayesian sensitivity analysis and robustness have mainly dealt with the computation of the range of some quantities of interest when the prior distribution varies in some class. Recently, researchers’ attention turned to the loss function, mostly to the changes in posterior expected loss and optimal actions. In particular, the search for optimal actions under classes of priors and...
متن کاملAn algorithm for approximating nondominated points of convex multiobjective optimization problems
In this paper, we present an algorithm for generating approximate nondominated points of a multiobjective optimization problem (MOP), where the constraints and the objective functions are convex. We provide outer and inner approximations of nondominated points and prove that inner approximations provide a set of approximate weakly nondominated points. The proposed algorithm can be appl...
متن کاملOptimal Placement and Sizing of Distributed Generation Via an Improved Nondominated Sorting Genetic Algorithm II
The use of distributed generation units in distribution networks has attracted the attention of network managers due to its great benefits. In this research, the location and determination of the capacity of distributed generation (DG) units for different purposes has been studied simultaneously. The multi-objective functions in the optimization model are reducing system line losses; reducing v...
متن کاملBayes, E-Bayes and Robust Bayes Premium Estimation and Prediction under the Squared Log Error Loss Function
In risk analysis based on Bayesian framework, premium calculation requires specification of a prior distribution for the risk parameter in the heterogeneous portfolio. When the prior knowledge is vague, the E-Bayesian and robust Bayesian analysis can be used to handle the uncertainty in specifying the prior distribution by considering a class of priors instead of a single prior. In th...
متن کاملA bi-level linear programming problem for computing the nadir point in MOLP
Computing the exact ideal and nadir criterion values is a very important subject in multi-objective linear programming (MOLP) problems. In fact, these values define the ideal and nadir points as lower and upper bounds on the nondominated points. Whereas determining the ideal point is an easy work, because it is equivalent to optimize a convex function (linear function) over a con...
متن کامل