英文标题：
《Optimal investment and consumption with forward preferences and
  uncertain parameters》
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作者：
Wing Fung Chong, Gechun Liang
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最新提交年份：
2019
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英文摘要：
  This paper solves the optimal investment and consumption strategies for a risk-averse and ambiguity-averse agent in an incomplete financial market with model uncertainty. The market incompleteness arises from investment constraints of the agent, while the model uncertainty stems from drift and volatility processes for risky stocks in the financial market. The agent seeks her best and robust strategies via optimizing her robust forward investment and consumption preferences. Her robust forward preferences and the associated optimal strategies are represented by solutions of ordinary differential equations, when there are both drift and volatility uncertainties, and infinite horizon backward stochastic differential equations, coupled with ordinary differential equations, when there is only drift uncertainty.
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中文摘要：
在模型不确定的不完备金融市场中，本文求解了风险厌恶型和模糊厌恶型代理人的最优投资和消费策略。市场的不完全性源于代理人的投资约束，而模型的不确定性源于金融市场中风险股票的漂移和波动过程。代理人通过优化其稳健的远期投资和消费偏好，寻求最佳和稳健的策略。当同时存在漂移和波动不确定性时，她的稳健正向偏好和相关的最优策略由常微分方程的解表示；当仅存在漂移不确定性时，由无限水平倒向随机微分方程与常微分方程耦合表示。
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Mathematical Finance        数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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