Dynamic portfolio choice under ambiguity and regime switching mean returns
From MaRDI portal
Publication:631261
DOI10.1016/j.jedc.2010.12.012zbMath1209.91150OpenAlexW3121502277MaRDI QIDQ631261
Publication date: 22 March 2011
Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2010.12.012
Utility theory (91B16) Applications of stochastic analysis (to PDEs, etc.) (60H30) Portfolio theory (91G10)
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