Dynamically consistent investment under model uncertainty : the robust forward criteria
Sigrid Källblad, Jan Obłój, Thaleia Zariphopoulou
| Year of publication: |
October 2018
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|---|---|
| Authors: | Källblad, Sigrid ; Obłój, Jan ; Zariphopoulou-Souganidis, Thaleia |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 4, p. 879-918
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| Subject: | Robust forward criteria | Optimal investment | Model uncertainty | Ambiguity aversion | Dynamic consistency | Time-consistency | Duality theory | Theorie | Theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Risiko | Risk | Portfolio-Management | Portfolio selection | Robustes Verfahren | Robust statistics | Modellierung | Scientific modelling | Erwartungsnutzen | Expected utility |
| 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/10011946570