Optimal long term investment under model ambiguity.

MaRDI QIDQ3562469zbMATH OpenFDO

Authors Thomas Knispel

Publication date 21 May 2010

Mathematics Subject Classification ID

Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Utility theory (91B16) Portfolio theory (91G10) Optimal stochastic control (93E20)

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Cited in

(9)

• Efficient non-contractible investments in large economies.
• On long term investment optimality
• Asymptotics of robust utility maximization
• Robust portfolios and weak incentives in long-run investments
• Extremal behavior of long-term investors with power utility
• Optimal Investments for Robust Utility Functionals in Complete Market Models
• Robust long-term growth rate of expected utility for leveraged ETFs
• Long-term real dynamic investment planning
• Optimal long-term investment model with memory

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