Most literatures about robust optimal reinsurance-investment problem aim to maximum the value function under the worst-case scenario, but some insurers are optimistic, so it is more reasonable to consider a more smooth criterion named $\alpha$-maxmin criterion which seek a balance between the...

We study a continuous-time optimal consumption and portfolio selection problem when an economic agent with recursive utility has stochastic income and debt-to-income borrowing limits. The optimal portfolio depends on the elasticity of intertemporal substitution (EIS) due to the borrowing...

Expected utility is an influential theory to study rational choice among risky assets. For each investment, an economic agent expects to receive a random payoff and therefore optimizes its expected utility. To the best of our knowledge, there exists no general procedure to take the derivative of...