Robust portfolios with commodities and stochastic interest rates
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Recommendations
- Robust portfolio choice with stochastic interest rates
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Cites work
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- Matrix Riccati equations in control and systems theory
- Optimal investment for an insurer with cointegrated assets: CRRA utility
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio management with stochastic interest rates and inflation ambiguity
- Portfolio optimization with ambiguous correlation and stochastic volatilities
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
- Robust portfolio choice with stochastic interest rates
Cited in
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- Should commodity investors follow commodities' prices?
- Model uncertainty on commodity portfolios, the role of convenience yield
- Portfolio selection with contrarian strategy
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