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Optimal Consumption and Portfolio Choice with Ambiguity · Study

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PreprintOptimal Consumption and Portfolio Choice with Ambiguity

Qian Lin2014

OA

Preprintgreen2014

Optimal Consumption and Portfolio Choice with Ambiguity

Qian Lin · Frank Riedel

37 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Decision-Making and Behavioral Economics Stochastic processes and financial applications

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References

1999Coherent Measures of Risk 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1989Maxmin expected utility with non-unique prior 1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING 2002Convex measures of risk and trading constraints 2000Investing for the Long Run when Returns Are Predictable 1992Stochastic Differential Utility 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences

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Details

Year2014

Typepreprint

Published2014-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations37

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.2377452

openalex_workW2134493152

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