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G-expected utility maximization with ambiguous equicorrelation
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References

  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1945The Theory of Games and Economic Behavior5,134 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 1954Exposition of a New Theory on the Measurement of Risk2,787 cited
  • 1989The Markowitz Optimization Enigma: Is ‘Optimized’ Optimal?1,333 cited
  • 2004Honey, I Shrunk the Sample Covariance Matrix1,276 cited
  • 1999Stochastic Controls1,243 cited
  • 2000Continuous-Time Mean-Variance Portfolio Selection: A Stochastic LQ Framework1,009 cited
  • 2007G-Expectation, G-Brownian Motion and Related Stochastic Calculus of Itô Type621 cited
  • 2019Nonlinear Expectations and Stochastic Calculus under Uncertainty594 cited
  • 2008Multi-dimensional G-Brownian motion and related stochastic calculus under G-expectation556 cited
  • 2012Dynamic Equicorrelation456 cited
  • 2006Robust control and model misspecification389 cited
  • 1973ESTIMATING THE DEPENDENCE STRUCTURE OF SHARE PRICES —IMPLICATIONS FOR PORTFOLIO SELECTION280 cited
  • 2014The Markowitz Optimization Enigma: Is 'Optimized' Optimal?248 cited

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2013
Ambiguous Volatility and Asset Pricing in Continuous Time
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