Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?
Year of publication: |
2012-10
|
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Authors: | Faria, Gonçalo ; Correia-da-Silva, João |
Institutions: | Faculdade de Economia, Universidade do Porto |
Subject: | Dynamic Portfolio Choice | Stochastic Volatility | Ambiguity | Robust Control | Perturbation Theory |
Extent: | application/pdf |
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Series: | |
Type of publication: | Book / Working Paper |
Notes: | 29 pages |
Classification: | C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; E21 - Consumption; Saving ; G11 - Portfolio Choice |
Source: |
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