Dynamic derivative strategies with stochastic interest rates and model uncertainty
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DOI: 10.1016/j.jedc.2017.09.007
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Cited by:
- Qian Lin & Xianming Sun & Chao Zhou, 2019. "Horizon-unbiased Investment with Ambiguity," Papers 1904.09379, arXiv.org.
- repec:eee:insuma:v:86:y:2019:i:c:p:241-255 is not listed on IDEAS
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Keywords
Robust portfolio choice; Ambiguity; Stochastic volatility; Stochastic interest rates; Welfare loss;JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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