Uncertainty Aversion and Robust Portfolio Choices
AbstractOptimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust control problem. Using a power utility function of the form C with 0
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Bibliographic InfoPaper provided by University of Crete, Department of Economics in its series Working Papers with number 0408.
Length: 29 pages
Date of creation: 29 Oct 2004
Date of revision:
Uncertainty Aversion; Model Misspeci…cation; Robust Control; Portfolio Choice Models;
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
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