The robust Merton problem of an ambiguity averse investor (Q506375)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | The robust Merton problem of an ambiguity averse investor |
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The robust Merton problem of an ambiguity averse investor (English)
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31 January 2017
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robust optimization
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Merton problem
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volatility uncertainty
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ellipsoidal uncertainty on mean returns
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Hamilton-Jacobi-Bellman-Isaacs equation
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