Dynamic portfolio choice under uncertainty-aversion
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Publication:3404772
zbMATH Open1199.91264MaRDI QIDQ3404772FDOQ3404772
Authors: Chaolin He, Weidong Meng 
Publication date: 12 February 2010
Recommendations
- Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process
- UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET
- Uncertainty aversion, robust control and asset holdings
- DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY
- Robust consumption and portfolio choice for time varying investment opportunities
robust controldynamic portfoliospectral generalized method of momentstime-varying investment opportunitiesuncertainty-aversion
Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) Portfolio theory (91G10)
Cited In (16)
- Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
- Dynamic asset allocation with relative wealth concerns in incomplete markets
- Uncertain dynamics, correlation effects, and robust investment decisions
- UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET
- The Role of Learning in Dynamic Portfolio Decisions *
- Portfolio choices and asset prices: the comparative statics of ambiguity aversion
- Dynamic portfolio choice with heterogeneous beliefs
- Dynamic portfolio choice under the time-varying, jumps, and Knight uncertainty of asset return process
- Title not available (Why is that?)
- Title not available (Why is that?)
- Time-varying risk aversion and dynamic portfolio allocation
- DYNAMIC PORTFOLIO SELECTION WITH UNCERTAINTY
- Uncertainty aversion, robust control and asset holdings
- Robust dynamic trading with realization utility
- Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens
- Theory of dynamic portfolio for survival under uncertainty
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