Robust state-dependent mean-variance portfolio selection : a closed-loop approach
Bingyan Han, Chi Seng Pun, Hoi Ying Wong
| Year of publication: |
2021
|
|---|---|
| Authors: | Han, Bingyan ; Pun, Chi Seng ; Wong, Hoi Ying |
| Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 1432-1122, ZDB-ID 1467022-7. - Vol. 25.2021, 3, p. 529-561
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| Subject: | Closed-loop control | Robust mean-variance portfolio selection | State-dependence | Time-inconsistency | Model uncertainty | Theorie | Theory | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Robustes Verfahren | Robust statistics | Varianzanalyse | Analysis of variance |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1007/s00780-021-00457-4 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012585986