Dynamic portfolio selection with mispricing and model ambiguity

DOI10.1007/s10436-014-0252-yzbMath1311.91176OpenAlexW2054758569MaRDI QIDQ2018555

Bo Yi, Frederi G. Viens, Baron Law, Zhong-Fei Li

Publication date: 24 March 2015

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-014-0252-y

zbMATH Keywords

robust controlutility maximizationportfolio selectionmodel ambiguitymispricingstochastic risk premium

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (12)

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Cites Work

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• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
• Continuous Markov processes and stochastic equations
• Risk minimizing portfolios and HJBI equations for stochastic differential games

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