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Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium

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  • Maenhout, Pascal J.
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    Article provided by Elsevier in its journal Journal of Economic Theory.

    Volume (Year): 128 (2006)
    Issue (Month): 1 (May)
    Pages: 136-163

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    Handle: RePEc:eee:jetheo:v:128:y:2006:i:1:p:136-163

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    Web page: http://www.elsevier.com/locate/inca/622869

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    Cited by:
    1. Christian Flor & Linda Larsen, 2014. "Robust portfolio choice with stochastic interest rates," Annals of Finance, Springer, vol. 10(2), pages 243-265, May.
    2. Massimo Guidolin & Hening Liu, 2013. "Ambiguity Aversion and Under-diversification," Working Papers 483, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
    3. Hening Liu, 2010. "Robust consumption and portfolio choice for time varying investment opportunities," Annals of Finance, Springer, vol. 6(4), pages 435-454, October.
    4. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
    5. Branger, Nicole & Larsen, Linda Sandris, 2013. "Robust portfolio choice with uncertainty about jump and diffusion risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5036-5047.
    6. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
    7. Pierpaolo Benigno, 2007. "Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles," NBER Working Papers 13173, National Bureau of Economic Research, Inc.
    8. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
    9. William Brock & Anastasios Xepapadeas & Athanasios Yannacopoulos, 2014. "Optimal Control in Space and Time and the Management of Environmental Resources," DEOS Working Papers 1402, Athens University of Economics and Business.
    10. Yi, Bo & Li, Zhongfei & Viens, Frederi G. & Zeng, Yan, 2013. "Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 601-614.
    11. Hansen, Lars Peter & Maenhout, Pascal & Rustichini, Aldo & Sargent, Thomas J. & Siniscalchi, Marciano M., 2006. "Introduction to model uncertainty and robustness," Journal of Economic Theory, Elsevier, vol. 128(1), pages 1-3, May.
    12. Gonçalo Faria & João Correia-da-Silva, 2014. "A closed-form solution for options with ambiguity about stochastic volatility," Review of Derivatives Research, Springer, vol. 17(2), pages 125-159, July.
    13. Branger, Nicole & Larsen, Linda Sandris & Munk, Claus, 2013. "Robust portfolio choice with ambiguity and learning about return predictability," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1397-1411.
    14. Anderson, Evan W. & Ghysels, Eric & Juergens, Jennifer L., 2009. "The impact of risk and uncertainty on expected returns," Journal of Financial Economics, Elsevier, vol. 94(2), pages 233-263, November.

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