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