The robust Merton problem of an ambiguity averse investor (Q506375)
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scientific article; zbMATH DE number 6679309
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| English | The robust Merton problem of an ambiguity averse investor |
scientific article; zbMATH DE number 6679309 |
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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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0.828327476978302
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0.824770450592041
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0.8193617463111877
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0.8169618844985962
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0.8066479563713074
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