Robust portfolio optimization with a generalized expected utility model under ambiguity
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 4 (2008)
Issue (Month): 4 (October)
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Web page: http://www.springerlink.com/link.asp?id=112370
Robust optimization; Portfolio selection; Ambiguity; Equilibrium; C02; C44; D81;
Find related papers by JEL classification:
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
- C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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