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Persistent link: https://www.econbiz.de/10005743920
I present a new approach to the dynamic portfolio and consumption problem of an investor who worries about model uncertainty (in addition to market risk) and seeks robust decisions along the lines of Anderson, Hansen, and Sargent (2002). In accordance with max-min expected utility, a robust...
Persistent link: https://www.econbiz.de/10005569856