The robust Merton problem of an ambiguity averse investor

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Bibliographische Detailangaben
Veröffentlicht in:	Mathematics and financial economics
1. Verfasser:	Biagini, Sara (VerfasserIn)
Weitere Verfasser:	Pınar, Mustafa Ç. (VerfasserIn)
Format:	UnknownFormat
Sprache:	eng
Veröffentlicht:	January 2017
Schlagworte:	Robust optimization > Merton problem > Volatility uncertainty > Ellipsoidal uncertainty on mean returns > Hamilton-Jacobi-Bellman-Isaacs equation > Aufsatz in Zeitschrift
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

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