OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
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Publication:5066294
DOI10.1142/S0219024922500029zbMath1483.91217OpenAlexW4211055410MaRDI QIDQ5066294
Publication date: 29 March 2022
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s0219024922500029
robust optimizationmodel uncertaintyKnightian uncertaintyoptimal portfoliosindifference principlecrash scenarios
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