Optimal portfolio choice with crash risk and model ambiguity
Ralf Korn and Lukas Müller
| Year of publication: |
2022
|
|---|---|
| Authors: | Korn, Ralf ; Müller, Lukas |
| Subject: | crash scenarios | indifference principle | Knightian uncertainty | model uncertainty | Optimal portfolios | robust optimization | Portfolio-Management | Portfolio selection | Risiko | Risk | Theorie | Theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Robustes Verfahren | Robust statistics | Finanzkrise | Financial crisis | Mathematische Optimierung | Mathematical programming |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1142/S0219024922500029 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013189925