Dynamic portfolio optimization with ambiguity aversion
Jinqing Zhang, Zeyu Jin, Yunbi An
| Year of publication: |
June 2017
|
|---|---|
| Authors: | Zhang, Jinqing ; Jin, Zeyu ; An, Yunbi |
| Published in: |
Journal of banking & finance. - Amsterdam [u.a.] : Elsevier, ISSN 0378-4266, ZDB-ID 752905-3. - Vol. 79.2017, p. 95-109
|
| Subject: | Ambiguity aversion | Portfolio optimization | Robust optimization | Portfolio-Management | Portfolio selection | Risikoaversion | Risk aversion | Theorie | Theory | Mathematische Optimierung | Mathematical programming | Entscheidung unter Unsicherheit | Decision under uncertainty | Dynamische Optimierung | Dynamic programming | Erwartungsnutzen | Expected utility | Robustes Verfahren | Robust statistics |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.jbankfin.2017.03.007 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011815139