Robust portfolio choice with stochastic interest rates (Q470730): Difference between revisions

@@ Property / Mathematics Subject Classification ID @@
+G10
@@ Property / Mathematics Subject Classification ID: 91G10 / rank @@
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@@ Property / Mathematics Subject Classification ID @@
+G30
@@ Property / Mathematics Subject Classification ID: 91G30 / rank @@
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@@ Property / zbMATH DE Number @@
+6369117
@@ Property / zbMATH DE Number: 6369117 / rank @@
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@@ Property / zbMATH Keywords @@
+ambiguity aversion
@@ Property / zbMATH Keywords: ambiguity aversion / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+model uncertainty
@@ Property / zbMATH Keywords: model uncertainty / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+robust control
@@ Property / zbMATH Keywords: robust control / rank @@
+Normal rank
@@ Property / zbMATH Keywords @@
+welfare loss
@@ Property / zbMATH Keywords: welfare loss / rank @@
+Normal rank
@@ Property / MaRDI profile type @@
+MaRDI publication profile
@@ Property / MaRDI profile type: MaRDI publication profile / rank @@
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@@ Property / full work available at URL @@
+https://doi.org/10.1007/s10436-013-0234-5
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@@ Property / OpenAlex ID @@
+W2002511774
@@ Property / OpenAlex ID: W2002511774 / rank @@
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@@ Property / cites work @@
+Stochastic Interest Rates and the Bond-Stock Mix
@@ Property / cites work: Stochastic Interest Rates and the Bond-Stock Mix / rank @@
+Normal rank
@@ Property / cites work @@
+A YIELD‐FACTOR MODEL OF INTEREST RATES
@@ Property / cites work: A YIELD‐FACTOR MODEL OF INTEREST RATES / rank @@
+Normal rank
@@ Property / cites work @@
+Risk, Ambiguity, and the Savage Axioms
@@ Property / cites work: Risk, Ambiguity, and the Savage Axioms / rank @@
+Normal rank
@@ Property / cites work @@
+Recursive multiple-priors.
@@ Property / cites work: Recursive multiple-priors. / rank @@
+Normal rank
@@ Property / cites work @@
+Maxmin expected utility with non-unique prior
@@ Property / cites work: Maxmin expected utility with non-unique prior / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Permanent Income and Pricing
@@ Property / cites work: Robust Permanent Income and Pricing / rank @@
+Normal rank
@@ Property / cites work @@
+Q4549699
@@ Property / cites work: Q4549699 / rank @@
+Normal rank
@@ Property / cites work @@
+A Smooth Model of Decision Making under Ambiguity
@@ Property / cites work: A Smooth Model of Decision Making under Ambiguity / rank @@
+Normal rank
@@ Property / cites work @@
+ON THE STABILITY OF CONTINUOUS‐TIME PORTFOLIO PROBLEMS WITH STOCHASTIC OPPORTUNITY SET
+Normal rank
@@ Property / cites work @@
+The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
+Normal rank
@@ Property / cites work @@
+Robust consumption and portfolio choice for time varying investment opportunities
+Normal rank
@@ Property / cites work @@
+Robust portfolio optimization with a generalized expected utility model under ambiguity
+Normal rank
@@ Property / cites work @@
+Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
+Normal rank
@@ Property / cites work @@
+Stochastic differential equations. An introduction with applications.
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+An equilibrium characterization of the term structure
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@@ Property / cites work @@
+Risk aversion and allocation to long-term bonds.
@@ Property / cites work: Risk aversion and allocation to long-term bonds. / rank @@
+Normal rank
@@ links / mardi / name / links / mardi / name @@
+Publication:470730