Dynamic portfolio selection with mispricing and model ambiguity
Bo Yi; Frederi Viens; Baron Law; Zhongfei Li
| Year of publication: |
2015
|
|---|---|
| Authors: | Yi, Bo ; Viens, Frederi G. ; Law, Baron ; Li, Zhongfei |
| Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 11.2015, 1, p. 37-75
|
| Subject: | Portfolio selection | Model ambiguity | Mispricing | Stochastic risk premium | Robust control | Utility maximization | Portfolio-Management | Entscheidung unter Unsicherheit | Decision under uncertainty | Risikoprämie | Risk premium | CAPM | Kapitalmarkttheorie | Financial economics | Stochastischer Prozess | Stochastic process | Risikoaversion | Risk aversion |
| Extent: | graph. Darst. |
|---|---|
| Type of publication: | Article |
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011376170