Robust consumption and portfolio choice for time varying investment opportunities
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Bibliographic InfoArticle provided by Springer in its journal Annals of Finance.
Volume (Year): 6 (2010)
Issue (Month): 4 (October)
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Web page: http://www.springerlink.com/link.asp?id=112370
Robust control; Portfolio choice; Recursive preferences; Mean-reverting; G11; D81; C61;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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