Optimal consumption and portfolio choice with ambiguity
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- Qian Lin & Frank Riedel, 2014. "Optimal consumption and portfolio choice with ambiguity," Papers 1401.1639, arXiv.org.
References listed on IDEAS
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CitationsCitations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
- Ariel Neufeld & Mario Sikic, 2017. "Nonconcave Robust Optimization with Discrete Strategies under Knightian Uncertainty," Papers 1711.03875, arXiv.org, revised May 2018.
- Huy N. Chau & Miklos Rasonyi, 2018. "Robust utility maximization in markets with transaction costs," Papers 1803.04213, arXiv.org.
- Ariel Neufeld & Marcel Nutz, 2015. "Robust Utility Maximization with L\'evy Processes," Papers 1502.05920, arXiv.org, revised Mar 2016.
- Ariel Neufeld & Mario Sikic, 2016. "Robust Utility Maximization in Discrete-Time Markets with Friction," Papers 1610.09230, arXiv.org, revised May 2018.
- Zhou Yang & Gechun Liang & Chao Zhou, 2017. "Constrained portfolio-consumption strategies with uncertain parameters and borrowing costs," Papers 1711.02939, arXiv.org.
- Meglena Jeleva & Jean-Marc Tallon, 2016. "Ambiguïté, comportements et marchés financiers," Post-Print halshs-01109639, HAL.
- Sara Biagini & Mustafa Pinar, 2015. "The Robust Merton Problem of an Ambiguity Averse Investor," Papers 1502.02847, arXiv.org.
More about this item
KeywordsRobust Finance; Optimal Portfolio Choice; Knightian Uncertainty; Ambiguity; Model Uncertainty;
- 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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