scientific article; zbMATH DE number 2065138

MaRDI QIDQ4459804zbMATH OpenFDO

Authors Fabio Trojani, Paolo Vanini

Publication date 18 May 2004

zbMATH Keywords

model misspecificationfinancial equilibriumMerton's modelrobust decision making

Mathematics Subject Classification ID

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• Robust Markowitz: comprehensively maximizing Sharpe ratio by parametric-quadratic programming
• Information and inequality
• Optimal investment in a general stochastic factor framework under model uncertainty

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