Optimal portfolios under worst-case scenarios
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References listed on IDEAS
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- Bernard, Carole & Vanduffel, Steven, 2015. "A new approach to assessing model risk in high dimensions," Journal of Banking & Finance, Elsevier, vol. 58(C), pages 166-178.
- Bernard, Carole & Chen, Jit Seng & Vanduffel, Steven, 2015. "Rationalizing investors’ choices," Journal of Mathematical Economics, Elsevier, vol. 59(C), pages 10-23.
More about this item
KeywordsBehavioural portfolio selection; Cost-efficiency; Growth optimal portfolio; Path-dependent strategies; Risk diversification; State-dependent preferences;
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