{"paper":{"title":"Robust consumption-investment problem Under CRRA and CARA utilities with time-varying confidence sets","license":"http://arxiv.org/licenses/nonexclusive-distrib/1.0/","headline":"","cross_cats":[],"primary_cat":"math.OC","authors_text":"Ming Ma, Zongxia Liang","submitted_at":"2018-11-29T14:03:31Z","abstract_excerpt":"We consider a robust consumption-investment problem under CRRA and CARA utilities. The time-varying confidence sets are specified by $\\Theta$, a correspondence from $[0,T]$ to the space of L\\'{e}vy triplets, and describe priori information about drift, volatility and jump. Under each possible measure, the log-price processes of stocks are semimartingales and the triplet of their differential characteristics is a measurable selector from the correspondence $\\Theta$ almost surely. By proposing and studying the global kernel, an optimal policy and a worst-case measure are generated from a saddle "},"claims":{"count":0,"items":[],"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"source":{"id":"1811.12149","kind":"arxiv","version":1},"verdict":{"id":null,"model_set":{},"created_at":null,"strongest_claim":"","one_line_summary":"","pipeline_version":null,"weakest_assumption":"","pith_extraction_headline":""},"references":{"count":0,"sample":[],"resolved_work":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57","internal_anchors":0},"formal_canon":{"evidence_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"author_claims":{"count":0,"strong_count":0,"snapshot_sha256":"258153158e38e3291e3d48162225fcdb2d5a3ed65a07baac614ab91432fd4f57"},"builder_version":"pith-number-builder-2026-05-17-v1"}