Dynamically consistent investment under model uncertainty : the robust forward criteria
Year of publication: |
October 2018
|
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Authors: | Källblad, Sigrid ; Obłój, Jan ; Zariphopoulou-Souganidis, Thaleia |
Published in: |
Finance and stochastics. - Berlin : Springer, ISSN 0949-2984, ZDB-ID 1356339-7. - Vol. 22.2018, 4, p. 879-918
|
Subject: | Robust forward criteria | Optimal investment | Model uncertainty | Ambiguity aversion | Dynamic consistency | Time-consistency | Duality theory | Theorie | Theory | Entscheidung unter Unsicherheit | Decision under uncertainty | Risiko | Risk | Portfolio-Management | Portfolio selection | Zeitkonsistenz | Time consistency | Modellierung | Scientific modelling | Robustes Verfahren | Robust statistics |
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