Robust investment strategies with two risky assets

DOI10.1016/J.JEDC.2021.104275OpenAlexW3211948801MaRDI QIDQ2115940FDOQ2115940

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

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zbMATH Keywords

model uncertaintyambiguityrobust investment

Mathematics Subject Classification ID

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

Cites Work

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

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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