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The robust Merton problem of an ambiguity averse investor
16 references·5 citing·36 second hop
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References

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  • 1985The equity premium: A puzzle5,785 cited
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  • 2000Asset Pricing with Distorted Beliefs: Are Equity Returns Too Good to Be True?

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329 cited
  • 2007Portfolio Selection With Robust Estimation326 cited
  • Cited by

    • 2017Robust Time-Inconsistent Stochastic Control Problems52 cited
    • 2022Robust portfolio selection problems: a comprehensive review43 cited
    • 2017Time-Consistency of Optimal Investment under Smooth Ambiguity33 cited
    • 2020Optimal consumption and portfolio choice with ambiguous interest rates and volatility32 cited
    • 2019Pricing and hedging in incomplete markets with model uncertainty29 cited