Robust portfolio optimization with a generalized expected utility model under ambiguity
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Gonçalo Faria & João Correia-da-Silva, 2011. "The Price of Risk and Ambiguity in an Intertemporal General Equilibrium Model of Asset Prices," FEP Working Papers 399, Universidade do Porto, Faculdade de Economia do Porto.
- 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, pages 507-531.
- Christian Flor & Linda Larsen, 2014. "Robust portfolio choice with stochastic interest rates," Annals of Finance, Springer, pages 243-265.
- repec:kap:annfin:v:13:y:2017:i:3:d:10.1007_s10436-017-0301-4 is not listed on IDEAS
More about this item
KeywordsRobust optimization; Portfolio selection; Ambiguity; Equilibrium; C02; C44; D81;
- 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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