{"id":"https://openalex.org/W4416065590","doi":"https://doi.org/10.1137/24m1699140","title":"Robust Forward Investment and Consumption under Drift and Volatility Uncertainties: A Randomization Approach","display_name":"Robust Forward Investment and Consumption under Drift and Volatility Uncertainties: A Randomization Approach","publication_year":2025,"publication_date":"2025-11-10","ids":{"openalex":"https://openalex.org/W4416065590","doi":"https://doi.org/10.1137/24m1699140"},"language":"en","primary_location":{"id":"doi:10.1137/24m1699140","is_oa":false,"landing_page_url":"https://doi.org/10.1137/24m1699140","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://wrap.warwick.ac.uk/id/eprint/194559/1/WRAP-Robust-forward-investment-consumption-drift-volatility-approach-25.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5084420424","display_name":"Wing Fung Chong","orcid":"https://orcid.org/0000-0002-4052-6571"},"institutions":[{"id":"https://openalex.org/I889458895","display_name":"University of Hong Kong","ror":"https://ror.org/02zhqgq86","country_code":"HK","type":"education","lineage":["https://openalex.org/I889458895"]}],"countries":["HK"],"is_corresponding":true,"raw_author_name":"Wing Fung Chong","raw_affiliation_strings":["Department of Statistics and Actuarial Science, School of Computing and Data Science, The University of Hong Kong, Pokfulam, Hong Kong, China"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics and Actuarial Science, School of Computing and Data Science, The University of Hong Kong, Pokfulam, Hong Kong, China","institution_ids":["https://openalex.org/I889458895"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5045178156","display_name":"Gechun Liang","orcid":"https://orcid.org/0000-0003-0752-0773"},"institutions":[{"id":"https://openalex.org/I39555362","display_name":"University of Warwick","ror":"https://ror.org/01a77tt86","country_code":"GB","type":"education","lineage":["https://openalex.org/I39555362"]}],"countries":["GB"],"is_corresponding":false,"raw_author_name":"Gechun Liang","raw_affiliation_strings":["Department of Statistics, The University of Warwick, Coventry CV4 7AL, UK"],"raw_orcid":"https://orcid.org/0000-0003-0752-0773","affiliations":[{"raw_affiliation_string":"Department of Statistics, The University of Warwick, Coventry CV4 7AL, UK","institution_ids":["https://openalex.org/I39555362"]}]}],"institutions":[],"countries_distinct_count":2,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5084420424"],"corresponding_institution_ids":["https://openalex.org/I889458895"],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.37772761,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"16","issue":"4","first_page":"1304","last_page":"1335"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.5051000118255615,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.5051000118255615,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.15219999849796295,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11976","display_name":"Capital Investment and Risk Analysis","score":0.1492999941110611,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/volatility","display_name":"Volatility (finance)","score":0.6753000020980835},{"id":"https://openalex.org/keywords/investment-strategy","display_name":"Investment strategy","score":0.5252000093460083},{"id":"https://openalex.org/keywords/consumption","display_name":"Consumption (sociology)","score":0.4966999888420105},{"id":"https://openalex.org/keywords/financial-market","display_name":"Financial market","score":0.4569000005722046},{"id":"https://openalex.org/keywords/volatility-smile","display_name":"Volatility smile","score":0.40639999508857727},{"id":"https://openalex.org/keywords/implied-volatility","display_name":"Implied volatility","score":0.40549999475479126},{"id":"https://openalex.org/keywords/risk-aversion","display_name":"Risk aversion (psychology)","score":0.37700000405311584},{"id":"https://openalex.org/keywords/investment","display_name":"Investment (military)","score":0.3736000061035156}],"concepts":[{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.6804999709129333},{"id":"https://openalex.org/C91602232","wikidata":"https://www.wikidata.org/wiki/Q756115","display_name":"Volatility (finance)","level":2,"score":0.6753000020980835},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.6470000147819519},{"id":"https://openalex.org/C103144560","wikidata":"https://www.wikidata.org/wiki/Q2670999","display_name":"Investment strategy","level":3,"score":0.5252000093460083},{"id":"https://openalex.org/C30772137","wikidata":"https://www.wikidata.org/wiki/Q5164762","display_name":"Consumption (sociology)","level":2,"score":0.4966999888420105},{"id":"https://openalex.org/C19244329","wikidata":"https://www.wikidata.org/wiki/Q208697","display_name":"Financial market","level":2,"score":0.4569000005722046},{"id":"https://openalex.org/C13290067","wikidata":"https://www.wikidata.org/wiki/Q915788","display_name":"Volatility smile","level":3,"score":0.40639999508857727},{"id":"https://openalex.org/C24189920","wikidata":"https://www.wikidata.org/wiki/Q1660345","display_name":"Implied volatility","level":3,"score":0.40549999475479126},{"id":"https://openalex.org/C129915516","wikidata":"https://www.wikidata.org/wiki/Q17083550","display_name":"Risk aversion (psychology)","level":3,"score":0.37700000405311584},{"id":"https://openalex.org/C27548731","wikidata":"https://www.wikidata.org/wiki/Q88272","display_name":"Investment (military)","level":3,"score":0.3736000061035156},{"id":"https://openalex.org/C2777284652","wikidata":"https://www.wikidata.org/wiki/Q7940000","display_name":"Volatility risk","level":5,"score":0.36550000309944153},{"id":"https://openalex.org/C109354906","wikidata":"https://www.wikidata.org/wiki/Q6015174","display_name":"Incomplete markets","level":2,"score":0.35530000925064087},{"id":"https://openalex.org/C128263813","wikidata":"https://www.wikidata.org/wiki/Q6588953","display_name":"Forward rate","level":3,"score":0.31850001215934753},{"id":"https://openalex.org/C131562839","wikidata":"https://www.wikidata.org/wiki/Q1574928","display_name":"Trading strategy","level":2,"score":0.3183000087738037},{"id":"https://openalex.org/C85393063","wikidata":"https://www.wikidata.org/wiki/Q596307","display_name":"Stochastic volatility","level":3,"score":0.3000999987125397},{"id":"https://openalex.org/C63479239","wikidata":"https://www.wikidata.org/wiki/Q7353546","display_name":"Robustness (evolution)","level":3,"score":0.2865000069141388},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.2815000116825104},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.26969999074935913},{"id":"https://openalex.org/C2777027219","wikidata":"https://www.wikidata.org/wiki/Q1284190","display_name":"Constant (computer programming)","level":2,"score":0.2678999900817871},{"id":"https://openalex.org/C31531917","wikidata":"https://www.wikidata.org/wiki/Q915157","display_name":"Robust control","level":3,"score":0.2574999928474426},{"id":"https://openalex.org/C175444787","wikidata":"https://www.wikidata.org/wiki/Q39072","display_name":"Microeconomics","level":1,"score":0.2574999928474426},{"id":"https://openalex.org/C181236170","wikidata":"https://www.wikidata.org/wiki/Q848354","display_name":"Capital asset pricing model","level":2,"score":0.2508000135421753}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/24m1699140","is_oa":false,"landing_page_url":"https://doi.org/10.1137/24m1699140","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:wrap.warwick.ac.uk:194559","is_oa":true,"landing_page_url":"https://doi.org/10.1137/24M1699140","pdf_url":"https://wrap.warwick.ac.uk/id/eprint/194559/1/WRAP-Robust-forward-investment-consumption-drift-volatility-approach-25.pdf","source":{"id":"https://openalex.org/S4306400665","display_name":"Warwick Research Archive Portal (University of Warwick)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I39555362","host_organization_name":"University of Warwick","host_organization_lineage":["https://openalex.org/I39555362"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"NonPeerReviewed"}],"best_oa_location":{"id":"pmh:oai:wrap.warwick.ac.uk:194559","is_oa":true,"landing_page_url":"https://doi.org/10.1137/24M1699140","pdf_url":"https://wrap.warwick.ac.uk/id/eprint/194559/1/WRAP-Robust-forward-investment-consumption-drift-volatility-approach-25.pdf","source":{"id":"https://openalex.org/S4306400665","display_name":"Warwick Research Archive Portal (University of Warwick)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I39555362","host_organization_name":"University of Warwick","host_organization_lineage":["https://openalex.org/I39555362"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"NonPeerReviewed"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G6076520351","display_name":null,"funder_award_id":"12571512","funder_id":"https://openalex.org/F4320321001","funder_display_name":"National Natural Science Foundation of China"}],"funders":[{"id":"https://openalex.org/F4320321001","display_name":"National Natural Science Foundation of China","ror":"https://ror.org/01h0zpd94"}],"has_content":{"pdf":true,"grobid_xml":false},"content_urls":{"pdf":"https://content.openalex.org/works/W4416065590.pdf"},"referenced_works_count":57,"referenced_works":["https://openalex.org/W72386360","https://openalex.org/W94664860","https://openalex.org/W195033016","https://openalex.org/W200028774","https://openalex.org/W206991483","https://openalex.org/W1494095174","https://openalex.org/W1509307337","https://openalex.org/W1595299803","https://openalex.org/W1716654180","https://openalex.org/W1926616175","https://openalex.org/W1968051860","https://openalex.org/W1971132156","https://openalex.org/W1983895730","https://openalex.org/W2007459244","https://openalex.org/W2043380962","https://openalex.org/W2044381497","https://openalex.org/W2052438825","https://openalex.org/W2064699431","https://openalex.org/W2090874083","https://openalex.org/W2100359260","https://openalex.org/W2134436675","https://openalex.org/W2146469257","https://openalex.org/W2157935728","https://openalex.org/W2232888810","https://openalex.org/W2557218131","https://openalex.org/W2560223494","https://openalex.org/W2592212532","https://openalex.org/W2600346179","https://openalex.org/W2810755154","https://openalex.org/W2832063004","https://openalex.org/W2962936254","https://openalex.org/W3001997947","https://openalex.org/W3009488937","https://openalex.org/W3022718368","https://openalex.org/W3027264385","https://openalex.org/W3080206895","https://openalex.org/W3085911866","https://openalex.org/W3086740916","https://openalex.org/W3096052099","https://openalex.org/W3122223122","https://openalex.org/W3123275150","https://openalex.org/W3125732435","https://openalex.org/W3179669555","https://openalex.org/W4213046749","https://openalex.org/W4280633332","https://openalex.org/W4306180243","https://openalex.org/W4308641656","https://openalex.org/W4313681271","https://openalex.org/W4327730832","https://openalex.org/W4382981871","https://openalex.org/W4393064308","https://openalex.org/W4393077973","https://openalex.org/W4393120956","https://openalex.org/W4400137392","https://openalex.org/W4400137398","https://openalex.org/W4400137403","https://openalex.org/W4400137417"],"related_works":[],"abstract_inverted_index":{"This":[0],"paper":[1],"studies":[2],"robust":[3,54,72,94],"forward":[4,38,56,82,104],"investment":[5,73,105],"and":[6,9,15,25,33,71,74,84,93,106],"consumption":[7,75,107],"preferences":[8,57,83],"optimal":[10,70,92],"strategies":[11],"for":[12,103],"a":[13,100],"risk-averse":[14],"ambiguity-averse":[16],"agent":[17],"in":[18,61,87,95],"an":[19,62],"incomplete":[20],"financial":[21],"market":[22],"with":[23,46],"drift":[24],"volatility":[26,32],"uncertainties.":[27],"We":[28],"focus":[29],"on":[30],"nonzero":[31],"constant":[34],"relative":[35],"risk":[36],"aversion":[37],"preferences.":[39],"Given":[40],"the":[41,44,68,88,96],"nonconvexity":[42],"of":[43],"Hamiltonian":[45],"respect":[47],"to":[48],"uncertain":[49],"volatilities,":[50],"we":[51,66,78],"first":[52],"construct":[53],"randomized":[55],"through":[58],"endogenous":[59],"randomization":[60],"auxiliary":[63,89],"market.":[64],"Therein,":[65],"derive":[67],"corresponding":[69],"strategies.":[76],"Furthermore,":[77],"show":[79],"that":[80],"such":[81],"strategies,":[85],"developed":[86],"market,":[90,98],"remain":[91],"physical":[97],"offering":[99],"comprehensive":[101],"analysis":[102],"under":[108],"model":[109],"uncertainty.":[110]},"counts_by_year":[],"updated_date":"2025-11-28T10:14:17.125438","created_date":"2025-11-10T00:00:00"}
