The impact of ambiguity on dynamic portfolio selection in the epsilon-contaminated binomial market model
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Publication:6556099
DOI10.1016/j.ejor.2023.11.011MaRDI QIDQ6556099
Davide Petturiti, Barbara Vantaggi
Publication date: 17 June 2024
Published in: European Journal of Operational Research (Search for Journal in Brave)
Cites Work
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- Behavioral mean-variance portfolio selection
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- Finanza Matematica
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- Ambiguity in portfolio selection
- Robust Statistics
- Optimal Transport
- BEHAVIORAL PORTFOLIO SELECTION IN CONTINUOUS TIME
- Dynamic Portfolio Selection Under Ambiguity in the $$\epsilon $$-Contaminated Binomial Model
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