Equilibrium in an ambiguity-averse mean-variance investors market

DOI10.1016/j.ejor.2014.02.016zbMath1338.91136OpenAlexW1992777482MaRDI QIDQ296609

Mustafa Çelebi Pinar

Publication date: 23 June 2016

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

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.02.016

zbMATH Keywords

robust optimizationellipsoidal uncertaintyequilibrium price systemmean-variance portfolio theory

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (2)

An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution ⋮ An additive model of decision making under risk and ambiguity

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