Robust investment strategies with two risky assets
type: Item
instance of: scholarly article
title: Robust investment strategies with two risky assets
author: Qian Lin
author: Yulei Luo
author: Xianming Sun
publication date: 2022-03-15T00:00:00Z
Mathematics Subject Classification ID: 91-XX
zbMATH DE Number: 7490737
zbMATH Keywords: robust investment
zbMATH Keywords: ambiguity
zbMATH Keywords: model uncertainty
MaRDI profile type: Publication
full work available at URL: j.jedc.2021.104275
OpenAlex ID: W3211948801
cites work: Optimal capital structure, ambiguity aversion, and leverage puzzles
cites work: Ambiguity, Risk, and Asset Returns in Continuous Time
cites work: The premium of dynamic trading
cites work: Ambiguous Correlation
cites work: Robustness
cites work: Dynamic portfolio choice without cash
cites work: Optimal consumption and portfolio choice with ambiguous interest rates and volatility
cites work: Horizon-unbiased investment with ambiguity
cites work: Dynamic portfolio choice under ambiguity and regime switching mean returns
cites work: Ignorance, pervasive uncertainty, and household finance
cites work: Information Acquisition and Under-Diversification
cites work: Optimal Sharpe ratio in continuous-time markets with and without a risk-free asset
DOI: 10.1016/J.JEDC.2021.104275
published in: Journal of Economic Dynamics and Control
description: scientific article; zbMATH DE number 7490737