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

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