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Robust utility maximizing strategies under model uncertainty and their convergence

Jörn Sass, Dorothee Westphal
Year of publication:
2022
Authors: Sass, Jörn ; Westphal, Dorothee
Subject: Portfolio optimization | Drift uncertainty | Minimax theorems | Diversification | Portfolio-Management | Portfolio selection | Theorie | Theory | Risiko | Risk | Entscheidung unter Unsicherheit | Decision under uncertainty | Mathematische Optimierung | Mathematical programming | Diversifikation
freely available
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