Robust portfolio choice with limited attention

DOI10.3934/ERA.2023186MaRDI QIDQ6153095zbMATH OpenOpenAlexFDO

Authors

Publication date 13 February 2024

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

Copyright license Creative Commons Attribution 4.0 International

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

• scientific article; zbMATH DE number 1546853 (Why is no real title available?)
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• Mean-CVaR portfolio selection model with ambiguity in distribution and attitude
• Robust investment strategies with two risky assets
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
• Robust optimal strategies for an insurer with reinsurance and investment under benchmark and mean-variance criteria
• Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium

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