Dynamically consistent investment under model uncertainty: the robust forward criteria
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Publication:1788824
DOI10.1007/S00780-018-0368-4zbMath1416.91353arXiv1311.3529OpenAlexW2832063004WikidataQ129581266 ScholiaQ129581266MaRDI QIDQ1788824
Sigrid Källblad, Jan Obłój, Thaleia Zariphopoulou
Publication date: 8 October 2018
Published in: Finance and Stochastics (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1311.3529
duality theorymodel uncertaintyambiguity aversiontime-consistencyoptimal investmentdynamic consistencyrobust forward criteria
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