# Robust consumption-investment problem Under CRRA and CARA utilities with time-varying confidence sets

arXiv: https://arxiv.org/abs/1811.12149 · HTML: https://mlsanity.com/paper/1811.12149/

## Key facts

- Cited by 1 papers in the map (data through 14 Oct 2026).
- First posted on arXiv 29 Nov 2018.

## Built on by (most cited first, 1 of 1)

- [Markov Decision Processes under Model Uncertainty](https://mlsanity.com/paper/2206.06109/) (2022)

## Abstract (arXiv)

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'evy 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 point of the global kernel, and they also constitute a saddle point of the objective function.