Robo-advising: optimal investment with mismeasured and unstable risk preferences

DOI10.1016/J.EJOR.2023.12.002MaRDI QIDQ6554634zbMATH OpenFDO

Authors Henk Keffert

Publication date 13 June 2024

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/J.EJOR.2023.12.002

zbMATH Keywords

financeinvestment analysisportfolio optimisationrisk preferencesrobo-advising

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

• Continuous time mean variance asset allocation: a time-consistent strategy
• Equilibrium investment with random risk aversion
• Inference by Believers in the Law of Small Numbers
• On time consistency for mean-variance portfolio selection
• Optimal dynamic portfolio selection: multiperiod mean-variance formulation
• Predictable forward performance processes: Infrequent evaluation and applications to human‐machine interactions
• Risk and potential: an asset allocation framework with applications to robo-advising
• The surprising robustness of dynamic mean-variance portfolio optimization to model misspecification errors
• Time consistent vs. time inconsistent dynamic asset allocation: some utility cost calculations for mean variance preferences
• Time-consistency of optimal investment under smooth ambiguity
• Time-inconsistent control theory with finance applications

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