Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium

DOI10.1016/j.jet.2005.12.012zbMath1152.91535OpenAlexW2039609067MaRDI QIDQ2496230

Pascal Maenhout

Publication date: 12 July 2006

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jet.2005.12.012

zbMATH Keywords

robustnessmodel uncertaintyportfolio choiceintertemporal hedgingdetection-error probability

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)

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