Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets
Year of publication: |
2013
|
---|---|
Authors: | Liu, Hening |
Published in: |
Annals of Economics and Finance. - China Economics and Management Academy, ISSN 1529-7373. - Vol. 14.2013, 1, 2, p. 21-52
|
Publisher: |
China Economics and Management Academy |
Subject: | Ambiguity | Mean-reverting | Portfolio choice | Recursive multiple priors |
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