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OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY - MaRDI portal

OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY (Q5066294)

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scientific article; zbMATH DE number 7499765
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OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
scientific article; zbMATH DE number 7499765

    Statements

    title
    OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY (English)
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    author
    Ralf Korn
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    Lukas Müller
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    publication date
    29 March 2022
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    zbMATH Keywords
    optimal portfolios
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    crash scenarios
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    indifference principle
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    robust optimization
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    model uncertainty
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    Knightian uncertainty
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    cites work
    Q3656697
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    Q4002751
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    Identifiers

    zbMATH DE Number
    7499765
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    OpenAlex ID
    W4211055410
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