Showing 1 - 10 of 543
Persistent link: https://www.econbiz.de/10012173381
Persistent link: https://www.econbiz.de/10012178695
Persistent link: https://www.econbiz.de/10011741566
Persistent link: https://www.econbiz.de/10011821099
Persistent link: https://www.econbiz.de/10011926985
We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...
Persistent link: https://www.econbiz.de/10010400258
Persistent link: https://www.econbiz.de/10010467336
Persistent link: https://www.econbiz.de/10012692700
Persistent link: https://www.econbiz.de/10012514541
Persistent link: https://www.econbiz.de/10013161944