Robust investment strategies with two risky assets

DOI10.1016/J.JEDC.2021.104275OpenAlexW3211948801MaRDI QIDQ2115940FDOQ2115940

Authors Qian Lin, Yulei Luo, Xianming Sun

Publication date 15 March 2022

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2021.104275

zbMATH Keywords

model uncertaintyambiguityrobust investment

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

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Cites work

• Ambiguity, Risk, and Asset Returns in Continuous Time
• Ambiguous correlation
• Dynamic portfolio choice under ambiguity and regime switching mean returns
• Dynamic portfolio choice without cash
• Horizon-unbiased investment with ambiguity
• Ignorance, pervasive uncertainty, and household finance
• Information acquisition and under-diversification
• Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
• Optimal capital structure, ambiguity aversion, and leverage puzzles
• Optimal consumption and portfolio choice with ambiguous interest rates and volatility
• Robustness
• The premium of dynamic trading

Cited in

(2)

• Robust portfolio choice with limited attention
• Optimal portfolio strategy of wealth process: a Lévy process model-based method

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