[1] |
Merton R C. Lifetime portfolio selection under uncertainty: The continuous time case[J]. Review of Economics and Statistics, 1969, 51: 247-257.
|
[2] |
Merton R C. Optimum consumption and portfolio rules in a continuous time model[J]. Journal of Economic Theory, 1971, 3: 373-413.
|
[3] |
Knight F H. Risk, Uncertainty and Profit[M]. Boston: Houghton Mifflin, 1921.
|
[4] |
Gilboa I, Schmeidler D. Maxim expected utility with non-unique prior[J]. Journal of Mathematical Economics, 1989, 18:141-153.
|
[5] |
Kramkov D, Schachermayer W. The asymptotic elasticity of utility functions and optimal investment in incomplete markets[J]. Annals of Applied Probability, 1999, 9(3): 904-950.
|
[6] |
Cvitanic J, Schachermayer W, Wang H. Utility maximization in incomplete markets with random endowment[J]. Finance and Stochastics, 2001, 5(2): 259-272.
|
[7] |
Karatzas I, Zitkovic G. Optimal consumption from investment and random endowment in incomplete semimartingale markets[J]. Annals of Probability, 2003, 31(4): 1 821-1 858.
|
[8] |
Hugonnier J, Kramkov D. Optimal investment with random endowments in incomplete markets[J]. Annals of Applied Probability, 2004, 14(2): 845-864.
|
[9] |
Schied A. Optimal investments for risk- and ambiguity-averse preferences: A duality approach[J]. Finance and Stochastics, 2007, 11(1): 107-129.
|
[10] |
Schied A, Wu C T. Duality theory for optimal investments under model uncertainty[J]. Statistics Decisions, 2005, 23(3): 199-217.
|
[11] |
Gundel A. Robust utility maximization for complete and incomplete market models[J]. Finance and Stochastics, 2005, 9(2): 151-176.
|
[12] |
Duffie D, Zariphopoulou T. Optimal investment with undiversifiable income risk[J]. Mathematical Finance, 1993, 3:135-148.
|
[13] |
Quenez M C. Optimal portfolio in a multiple-priors model[J]. Seminar on Stochastic Analysis, Random Fields and Applications Ⅳ, Progress in Probability, 2004, 58: 291-321.
|
[14] |
Becherer D. Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging[J]. Annals of Applied Probability, 2006, 16(4): 2 027-2 054.
|
[15] |
Muller M. Market completion and robust utility maximization[D]. Berlin: Humboldt University, 2005.
|
[16] |
Bauerle N, Rieder U. Portfolio optimization with jumps and unobservable intensity process[J]. Mathematical Finance, 2007, 2(17): 205-224.
|
[17] |
Hernandez-Hernandez D, Schied A. A control approach to robust utility maximization with logarithmic utility and time consistent penalties[J]. Stochastic Processes and Applications, 2007, 117(8): 980-1 000.
|
[18] |
Fei W Y. Optimal portfolio choice based on α-MEU under ambiguity [J]. Stochastic Models, 2009, 25: 455-482.
|
[19] |
Fei W Y. Optimal consumption and portfolio choice with ambiguity and anticipation [J]. Information Sciences, 2007, 177: 5 178-5 190.
|
[20] |
Fei Weiyin, Li Shujuan. Study on optimal consumption and portfolio with inflation under Knightian uncertainty[J]. Chinese Journal of Engineering Mathematics, 2012, 29(6): 799-806.费为银, 李淑娟. Knight 不确定下带通胀的最优消费和投资模型研究[J]. 工程数学学报, 2012, 29(6): 799-806.
|
[21] |
Yang Zhaojun. Maximizing the expected utility from terminal wealth under the case of partial information[J]. Control Theory & Applications, 2006, 20(2): 11-13.杨招军. 部分信息下极大化终止时刻期望效用[J]. 控制理论与应用, 2006, 20(2): 11-13.
|
[22] |
Xia Dengfeng, Fei Weiyin, Liu Hongjian. On study of optimal investment with ambiguity and anticipation under fluctuated discounting rate[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(3): 270-276.夏登峰, 费为银, 刘宏建. 变折现率下带含糊和预期的投资问题研究[J]. 应用概率统计, 2010, 26(3): 270-276.
|
[23] |
Han Liyan, Pan Min. Knightian uncertainty based option pricing with stochastic volatility[J]. Systems Engineering: Theory & Practice, 2012, 32(6): 1 175-1 183.韩立岩, 泮敏. 基于奈特不确定性随机波动率期权定价[J]. 系统工程理论与实践, 2012, 32(6): 1 175-1 183.
|
[24] |
Li Juan, Fei Weiyin, Shi Xueqin, et al. Optimal trading strategy under disordered asset return and Knightian uncertainty[J]. Applied Mathematics A Journal of Chinese Universities, 2013, 28(1): 13-22.李娟, 费为银, 石学芹,等. 奈特不确定下资产收益率发生紊乱的最优投资策略[J]. 高校应用数学学报, 2013, 28(1): 13-22.
|
[25] |
Fei Weiyin, Chen Chao, Liang Yong. Optimal consumption-portfolio and retirement problem with disutility under Knightian Uncertainty[J]. Chinese Journal of applied probability and statistics, 2013, 29(1): 53-63.费为银, 陈超, 梁勇. Knight 不确定下考虑负效用的消费和投资问题研究[J]. 应用概率统计, 2013, 29(1): 53-63.
|
[26] |
Fei W Y, Fei C. Optimal stochastic control and optimal consumption and portfolio with G-Brownian motion[DB/OL]. arXiv: 1309.0209v1, 2013.
|
[27] |
Wittmuss W. Robust optimization of consumption with random endowment[J]. Stochastics: An International Journal of Probability and Stochastic Processes, 2008, 80(5): 459-475.
|
[28] |
Wittmuss W. Optimization of dynamic consumption streams under model uncertainty [D]. Germany: Berlin University of Technology, 2010.
|
[1] |
Merton R C. Lifetime portfolio selection under uncertainty: The continuous time case[J]. Review of Economics and Statistics, 1969, 51: 247-257.
|
[2] |
Merton R C. Optimum consumption and portfolio rules in a continuous time model[J]. Journal of Economic Theory, 1971, 3: 373-413.
|
[3] |
Knight F H. Risk, Uncertainty and Profit[M]. Boston: Houghton Mifflin, 1921.
|
[4] |
Gilboa I, Schmeidler D. Maxim expected utility with non-unique prior[J]. Journal of Mathematical Economics, 1989, 18:141-153.
|
[5] |
Kramkov D, Schachermayer W. The asymptotic elasticity of utility functions and optimal investment in incomplete markets[J]. Annals of Applied Probability, 1999, 9(3): 904-950.
|
[6] |
Cvitanic J, Schachermayer W, Wang H. Utility maximization in incomplete markets with random endowment[J]. Finance and Stochastics, 2001, 5(2): 259-272.
|
[7] |
Karatzas I, Zitkovic G. Optimal consumption from investment and random endowment in incomplete semimartingale markets[J]. Annals of Probability, 2003, 31(4): 1 821-1 858.
|
[8] |
Hugonnier J, Kramkov D. Optimal investment with random endowments in incomplete markets[J]. Annals of Applied Probability, 2004, 14(2): 845-864.
|
[9] |
Schied A. Optimal investments for risk- and ambiguity-averse preferences: A duality approach[J]. Finance and Stochastics, 2007, 11(1): 107-129.
|
[10] |
Schied A, Wu C T. Duality theory for optimal investments under model uncertainty[J]. Statistics Decisions, 2005, 23(3): 199-217.
|
[11] |
Gundel A. Robust utility maximization for complete and incomplete market models[J]. Finance and Stochastics, 2005, 9(2): 151-176.
|
[12] |
Duffie D, Zariphopoulou T. Optimal investment with undiversifiable income risk[J]. Mathematical Finance, 1993, 3:135-148.
|
[13] |
Quenez M C. Optimal portfolio in a multiple-priors model[J]. Seminar on Stochastic Analysis, Random Fields and Applications Ⅳ, Progress in Probability, 2004, 58: 291-321.
|
[14] |
Becherer D. Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging[J]. Annals of Applied Probability, 2006, 16(4): 2 027-2 054.
|
[15] |
Muller M. Market completion and robust utility maximization[D]. Berlin: Humboldt University, 2005.
|
[16] |
Bauerle N, Rieder U. Portfolio optimization with jumps and unobservable intensity process[J]. Mathematical Finance, 2007, 2(17): 205-224.
|
[17] |
Hernandez-Hernandez D, Schied A. A control approach to robust utility maximization with logarithmic utility and time consistent penalties[J]. Stochastic Processes and Applications, 2007, 117(8): 980-1 000.
|
[18] |
Fei W Y. Optimal portfolio choice based on α-MEU under ambiguity [J]. Stochastic Models, 2009, 25: 455-482.
|
[19] |
Fei W Y. Optimal consumption and portfolio choice with ambiguity and anticipation [J]. Information Sciences, 2007, 177: 5 178-5 190.
|
[20] |
Fei Weiyin, Li Shujuan. Study on optimal consumption and portfolio with inflation under Knightian uncertainty[J]. Chinese Journal of Engineering Mathematics, 2012, 29(6): 799-806.费为银, 李淑娟. Knight 不确定下带通胀的最优消费和投资模型研究[J]. 工程数学学报, 2012, 29(6): 799-806.
|
[21] |
Yang Zhaojun. Maximizing the expected utility from terminal wealth under the case of partial information[J]. Control Theory & Applications, 2006, 20(2): 11-13.杨招军. 部分信息下极大化终止时刻期望效用[J]. 控制理论与应用, 2006, 20(2): 11-13.
|
[22] |
Xia Dengfeng, Fei Weiyin, Liu Hongjian. On study of optimal investment with ambiguity and anticipation under fluctuated discounting rate[J]. Chinese Journal of Applied Probability and Statistics, 2010, 26(3): 270-276.夏登峰, 费为银, 刘宏建. 变折现率下带含糊和预期的投资问题研究[J]. 应用概率统计, 2010, 26(3): 270-276.
|
[23] |
Han Liyan, Pan Min. Knightian uncertainty based option pricing with stochastic volatility[J]. Systems Engineering: Theory & Practice, 2012, 32(6): 1 175-1 183.韩立岩, 泮敏. 基于奈特不确定性随机波动率期权定价[J]. 系统工程理论与实践, 2012, 32(6): 1 175-1 183.
|
[24] |
Li Juan, Fei Weiyin, Shi Xueqin, et al. Optimal trading strategy under disordered asset return and Knightian uncertainty[J]. Applied Mathematics A Journal of Chinese Universities, 2013, 28(1): 13-22.李娟, 费为银, 石学芹,等. 奈特不确定下资产收益率发生紊乱的最优投资策略[J]. 高校应用数学学报, 2013, 28(1): 13-22.
|
[25] |
Fei Weiyin, Chen Chao, Liang Yong. Optimal consumption-portfolio and retirement problem with disutility under Knightian Uncertainty[J]. Chinese Journal of applied probability and statistics, 2013, 29(1): 53-63.费为银, 陈超, 梁勇. Knight 不确定下考虑负效用的消费和投资问题研究[J]. 应用概率统计, 2013, 29(1): 53-63.
|
[26] |
Fei W Y, Fei C. Optimal stochastic control and optimal consumption and portfolio with G-Brownian motion[DB/OL]. arXiv: 1309.0209v1, 2013.
|
[27] |
Wittmuss W. Robust optimization of consumption with random endowment[J]. Stochastics: An International Journal of Probability and Stochastic Processes, 2008, 80(5): 459-475.
|
[28] |
Wittmuss W. Optimization of dynamic consumption streams under model uncertainty [D]. Germany: Berlin University of Technology, 2010.
|