Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity (Q5097217)
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scientific article; zbMATH DE number 7574018
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity |
scientific article; zbMATH DE number 7574018 |
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Robust Consumption-Investment with Return Ambiguity: A Dual Approach with Volatility Ambiguity (English)
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22 August 2022
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return ambiguity in primal
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volatility ambiguity in dual
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consumption-investment problem
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dual approach
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\(G\)-expectation
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sparse portfolio
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least exposure to ambiguity
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