OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY (Q5066294): Difference between revisions

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+Optimum portfolio diversification in a general continuous-time model
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+Worst-case portfolio optimization with proportional transaction costs
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+The robust Merton problem of an ambiguity averse investor
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+Ambiguity, Risk, and Asset Returns in Continuous Time
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+Optimal consumption and portfolio policies when asset prices follow a diffusion process
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+Robust worst-case optimal investment
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+Normal rank
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+LIFETIME CONSUMPTION AND INVESTMENT FOR WORST-CASE CRASH SCENARIOS
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+Risk, Ambiguity, and the Savage Axioms
@@ Property / cites work: Risk, Ambiguity, and the Savage Axioms / rank @@
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+Robust utility maximization in a stochastic factor model
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@@ Property / cites work @@
+Optimal Portfolio and Consumption Decisions for a “Small Investor” on a Finite Horizon
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@@ Property / cites work @@
+Q3656697
@@ Property / cites work: Q3656697 / rank @@
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@@ Property / cites work @@
+On Worst-Case Portfolio Optimization
@@ Property / cites work: On Worst-Case Portfolio Optimization / rank @@
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+OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
@@ Property / cites work: OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH / rank @@
+Normal rank
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+ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES
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+Dynamic portfolio choice under ambiguity and regime switching mean returns
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+ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES
@@ Property / cites work: ROBUST UTILITY MAXIMIZATION WITH LÉVY PROCESSES / rank @@
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+Robust Utility Maximization in Discrete-Time Markets with Friction
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+UTILITY MAXIMIZATION UNDER MODEL UNCERTAINTY IN DISCRETE TIME
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+A Stochastic Calculus Model of Continuous Trading: Optimal Portfolios
+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 @@
+Optimal Investment for Worst-Case Crash Scenarios: A Martingale Approach
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+Q4002751
@@ Property / cites work: Q4002751 / rank @@
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+https://doi.org/10.1142/s0219024922500029
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+W4211055410
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+Publication:5066294