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Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences |
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| Authors: | Bin Li Lihe Wang |
| Affiliation: | 1. Department of Statistics and Actuarial Science, University of Waterloo, Waterloo, Canada.;2. Department of Mathematics, University of Iowa, Iowa City, IA, USA.;3. Department of Mathematics, Shanghai Jiaotong University, Shanghai, China. |
| Abstract: | |
| Keywords: | Ambiguity backward stochastic differential equations martingale characterization robust utility maximization nonlinear expectations |