Optimal investment in ambiguous financial markets with learning

DOI10.1016/J.EJOR.2024.01.022MaRDI QIDQ6554635zbMATH OpenFDO

Authors Nicole Bäuerle, Antje Mahayni

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.2024.01.022

zbMATH Keywords

Bayesian investment problemduality theorylearningportfolio optimizationsmooth ambiguity

Mathematics Subject Classification ID

Operations research and management science (90Bxx)

Cites work

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Cited in

(2)

• Robust optimal investment and consumption strategies with portfolio constraints and stochastic environment
• Optimal payoffs under smooth ambiguity

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