Asset allocation - Robust asset allocation under model risk - Financial investors often develop a multitude of models to explain financial securities' dynamics, none of which they can fully trust. Model risk (also referred to as ambiguity) prevents investors from using the classical framework of expected utility maximisation to calculate optimal portfolio allocations. The authors propose a novel, ...
| Year of publication: |
2009
|
|---|---|
| Authors: | Tobelem, Sandrine ; Barrieu, Pauline |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 22.2009, 2, p. 91-95
|