OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
From MaRDI portal
Publication:6182055
DOI10.1142/s0219024923500176arXiv2212.04394OpenAlexW4387405613MaRDI QIDQ6182055
Publication date: 23 January 2024
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2212.04394
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Optimum consumption and portfolio rules in a continuous-time model
- Optimal investment and consumption under partial information
- Modeling non-monotone risk aversion using SAHARA utility functions
- Optimal portfolio choice for unobservable and regime-switching mean returns
- Optimal investment under partial information
- Knightian uncertainty and insurance regulation decision
- Maxmin expected utility with non-unique prior
- Optimal consumption and portfolio policies when asset prices follow a diffusion process
- Optimal investment under VaR-regulation and minimum insurance
- Optimizing the terminal wealth under partial information: the drift process as a continuous time Markov chain
- Optimal retirement planning under partial information
- Portfolio selection under incomplete information
- Utility Maximization Under Bounded Expected Loss
- Subjective Probability and Expected Utility without Additivity
- ROBUST UTILITY MAXIMIZATION IN A MULTIVARIATE FINANCIAL MARKET WITH STOCHASTIC DRIFT
- Portfolio optimization with unobservable Markov-modulated drift process
- Optimal Investments for Robust Utility Functionals in Complete Market Models
- Robust Markowitz mean‐variance portfolio selection under ambiguous covariance matrix
- Distributionally Robust Markov Decision Processes and Their Connection to Risk Measures
- Optimal portfolio policies under bounded expected loss and partial information
This page was built for publication: OPTIMAL INVESTMENT UNDER PARTIAL INFORMATION AND ROBUST VAR-TYPE CONSTRAINT
