Optimal Portfolio Choice Based on α-MEU Under Ambiguity
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Publication:3396376
DOI10.1080/15326340903088826zbMath1170.91380OpenAlexW2033755209MaRDI QIDQ3396376
Publication date: 18 September 2009
Published in: Stochastic Models (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1080/15326340903088826
Random fields (60G60) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Portfolio theory (91G10)
Related Items (7)
Delay-dependent asymptotic stability of highly nonlinear stochastic differential delay equations driven by \(G\)-Brownian motion ⋮ Optimal contract for the principal-agent under Knightian uncertainty ⋮ Optimal consumption-leisure, portfolio and retirement selection based on \(\alpha\)-maxmin expected CES utility with ambiguity ⋮ Time-consistent lifetime portfolio selection under smooth ambiguity ⋮ On existence and uniqueness of solutions to uncertain backward stochastic differential equations ⋮ Optimal consumption and portfolio under inflation and Markovian switching ⋮ Optimal Control of Uncertain Stochastic Systems with Markovian Switching and Its Applications to Portfolio Decisions
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