Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process
DOI10.1007/S11424-012-9367-2zbMATH Open1269.93133OpenAlexW2021844133MaRDI QIDQ2391929FDOQ2391929
Authors: Chaolin He, Weidong Meng 
Publication date: 5 August 2013
Published in: Journal of Systems Science and Complexity (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s11424-012-9367-2
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Maxmin expected utility with non-unique prior
- Transform Analysis and Asset Pricing for Affine Jump-diffusions
- Title not available (Why is that?)
- An intertemporal asset pricing model with stochastic consumption and investment opportunities
- The Role of Learning in Dynamic Portfolio Decisions *
- Dynamic portfolio choice under uncertainty-aversion
Cited In (4)
- Dynamic portfolio choice under uncertainty-aversion
- Risk management for international portfolios with basket options: A multi-stage stochastic programming approach
- Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach
- Large dynamic covariance matrix estimation with an application to portfolio allocation: a semiparametric reproducing kernel Hilbert space approach
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