The robust Merton problem of an ambiguity averse investor (Q506375): Difference between revisions

@@ Property / arXiv ID @@
+.02847
@@ Property / arXiv ID: 1502.02847 / rank @@
+Normal rank
@@ Property / cites work @@
+An exploration of the effects of pessimism and doubt on asset returns.
+Normal rank
@@ Property / cites work @@
+Q5386174
@@ Property / cites work: Q5386174 / rank @@
+Normal rank
@@ Property / cites work @@
+Ambiguity, Risk, and Asset Returns in Continuous Time
+Normal rank
@@ Property / cites work @@
+Distributionally Robust Optimization Under Moment Uncertainty with Application to Data-Driven Problems
+Normal rank
@@ Property / cites work @@
+Portfolio Selection with Robust Estimation
@@ Property / cites work: Portfolio Selection with Robust Estimation / rank @@
+Normal rank
@@ Property / cites work @@
+Q3396313
@@ Property / cites work: Q3396313 / rank @@
+Normal rank
@@ Property / cites work @@
+Robust portfolios: contributions from operations research and finance
+Normal rank
@@ Property / cites work @@
+Delegated portfolio management under ambiguity aversion
+Normal rank
@@ Property / cites work @@
+Robust utility maximization in a stochastic factor model
+Normal rank
@@ Property / cites work @@
+Robust Preferences and Robust Portfolio Choice
@@ Property / cites work: Robust Preferences and Robust Portfolio Choice / rank @@
+Normal rank
@@ Property / cites work @@
+Robust Portfolio Selection Problems
@@ Property / cites work: Robust Portfolio Selection Problems / rank @@
+Normal rank
@@ Property / cites work @@
+ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES
+Normal rank
@@ Property / cites work @@
+Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
+Normal rank
@@ Property / cites work @@
+Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
+Normal rank
@@ Property / cites work @@
+Nonlinear Lévy processes and their characteristics
+Normal rank
@@ Property / cites work @@
+UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME
+Normal rank
@@ Property / cites work @@
+Robust utility maximization with unbounded random endowment
+Normal rank
@@ Property / cites work @@
+Robust profit opportunities in risky financial portfolios
+Normal rank
@@ Property / cites work @@
+Robust Mean-Covariance Solutions for Stochastic Optimization
+Normal rank
@@ Property / cites work @@
+Q4226355
@@ Property / cites work: Q4226355 / rank @@
+Normal rank
@@ Property / cites work @@
+Optimal Investment
@@ Property / cites work: Optimal Investment / rank @@
+Normal rank