Robust optimal portfolio choice under Markovian regime-switching model (Q1023980): Difference between revisions

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+Coherent Measures of Risk
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+On dynamic measure of risk
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+Filtering with discrete state observations
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+Q3969647
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+Risk, Ambiguity, and the Savage Axioms
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+IID: Independently and indistinguishably distributed.
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+Convex measures of risk and trading constraints
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+Maxmin expected utility with non-unique prior
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+Robust Permanent Income and Pricing
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+Optimum consumption and portfolio rules in a continuous-time model
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+MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
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+Markowitz's Mean-Variance Portfolio Selection With Regime Switching: From Discrete-Time Models to Their Continuous-Time Limits
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+Markowitz's Mean-Variance Portfolio Selection with Regime Switching: A Continuous-Time Model
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