Robust investment strategies with two risky assets
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DOI: 10.1016/j.jedc.2021.104275
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Cited by:
- Julian Holzermann, 2023. "Optimal Investment with Stochastic Interest Rates and Ambiguity," Papers 2306.13343, arXiv.org, revised Oct 2023.
- Helen Hui Huang & Yanjie Wang & Shunming Zhang, 2023. "Asset allocation, limited participation and flight‐to‐quality under ambiguity of correlation," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 28(4), pages 4604-4626, October.
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More about this item
Keywords
Robust investment; Ambiguity; Model uncertainty;All these keywords.
JEL classification:
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
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