Portfolio choice with Knightian uncertainty

DOI10.1016/0165-1889(94)00811-UzbMath0900.90037OpenAlexW1993492468MaRDI QIDQ673678

J. Michael Orszag, Hong Yang

Publication date: 28 February 1997

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0165-1889(94)00811-u

zbMATH Keywords

portfolio choiceKnightian uncertaintyrobust optimal control

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items

Numerical computation of \(H^ \infty\) optimal performance

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