Robust portfolio choice with limited attention

DOI10.3934/ERA.2023186OpenAlexW4367021312MaRDI QIDQ6153095FDOQ6153095

Authors:

Publication date: 13 February 2024

Published in: Electronic Research Archive (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3934/era.2023186

zbMATH Keywords

HJB equationportfolio choicerobust strategyCRRA utilitylimited attention

Mathematics Subject Classification ID

Portfolio theory (91G10) Optimal stochastic control (93E20)

Cites Work

• Maxmin expected utility with non-unique prior
• Title not available (Why is that?)
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• Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
• Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
• Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
• Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
• Information and inequality
• Robust investment strategies with two risky assets
• Equilibrium investment strategy for a DC pension plan with learning about stock return predictability

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