Dynamic derivative strategies with stochastic interest rates and model uncertainty (Q1657151)
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scientific article; zbMATH DE number 6916795
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| default for all languages | No label defined |
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| English | Dynamic derivative strategies with stochastic interest rates and model uncertainty |
scientific article; zbMATH DE number 6916795 |
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Dynamic derivative strategies with stochastic interest rates and model uncertainty (English)
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13 August 2018
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robust portfolio choice
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ambiguity
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stochastic volatility
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stochastic interest rates
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welfare loss
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0.8329717516899109
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0.7786235213279724
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0.7565121650695801
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0.7544557452201843
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