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A generalized stochastic differential utility driven by G -Brownian motion
Mathematics and Financial Economics ( IF 0.9 ) Pub Date : 2020-03-12 , DOI: 10.1007/s11579-020-00264-z
Qian Lin , Dejian Tian , Weidong Tian

This paper introduces a class of generalized stochastic differential utility (GSDU) models in a continuous-time framework to capture ambiguity aversion on the financial market. This class of GSDU models encompasses several classical approaches to ambiguity aversion and includes new models about ambiguity aversion. For a general GSDU model, we demonstrate its continuity, monotonicity, time consistency, concavity, and homotheticity. We investigate its comparative ambiguity aversion and direction aversion under sufficient conditions. We further solve an optimal portfolio choice problem in one GSDU model as an application.

中文翻译:

由G-布朗运动驱动的广义随机微分效用。

本文介绍了在连续时间框架内的一类广义随机差分效用(GSDU)模型,以捕获金融市场上的歧义厌恶。此类GSDU模型涵盖了多种避免歧义的经典方法,并包括有关歧义厌恶的新模型。对于一般的GSDU模型,我们证明了其连续性,单调性,时间一致性,凹度和同质性。我们在足够的条件下研究其比较模糊性厌恶和方向厌恶。我们进一步在一个GSDU模型中解决了最优投资组合选择问题。
更新日期:2020-03-12
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