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Robust Consumption and Portfolio Policies When Asset Prices Can Jump
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References

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  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework4,270 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?3,193 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 2001Robust Control and Model Uncertainty1,349 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 1992Stochastic Differential Utility1,165 cited
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  • 2013Can Time‐Varying Risk of Rare Disasters Explain Aggregate Stock Market Volatility?914 cited
  • 2004Robust Portfolio Rules and Asset Pricing

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784 cited
  • 1986Maxmin Expected Utility with a Non-Unique Prior668 cited
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    • 2019Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity34 cited
    • 2020Debt as a financial risk factor in SMEs in the Czech Republic31 cited
    • 2022Robust consumption and portfolio choice with derivatives trading22 cited