Trojani, Fabio Vanini, Paolo 2002 Only a few intertemporal optimal consumption and portfolio problems in partial and general equilibrium can be solved explicitly. It is illustrated in the paper that perturbation theory is a powerful tool for deriving approximate analytical solutions for the desired optimal policies in problems where general state dynamics are admitted and a preference for robustness is present. Starting from the perturbative approach proposed recently by Kogan and Uppal it is demonstrated how robust equilibria for some formulations of a preference for robustness in the literature can be solved. A crucial requirement for this approach is the existence of a known functional form for the candidate model solutions, a condition which is not satisfied by some models of a preference for robustness. For these cases, recent results by Trojani and Vanini can be used to obtain a perturbative solution to the Bellman equation of the relevant benchmark model and to give some formal conditions under which the perturbative solution converges to the correct one. application/pdf https://n2t.net/ark:/12658/srd1318032 https://susi.usi.ch/global/documents/318032 https://susi.usi.ch/documents/318032/files/1_fin0201.pdf eng info:eu-repo/semantics/altIdentifier/ark/12658/srd1318032 info:eu-repo/semantics/openAccess License undefined Computational methods in decision-making, economics and finance. - Dordrecht : Kluwer. - 2002, no. 109 Financial equilibrium Merton’s model Model misspecification Perturbation theory Robust decision making info:eu-repo/classification/udc/33 A review of perturbative approaches for robust optimal portfolio problems http://purl.org/coar/resource_type/c_3248