Robust consumption and portfolio rules with time-varying model confidence
Bong-Gyu Jang, Seungkyu Lee, Byung Hwa Lim
| Year of publication: |
August 2016
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|---|---|
| Authors: | Jang, Bong-Gyu ; Lee, Seungkyu ; Lim, Byung Hwa |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 18.2016, p. 342-352
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| Subject: | Model misspecification | Robust control | Portfolio selection | Stochastic differential utility | Elasticity of intertemporal substitution | Consumption | Portfolio-Management | Modellierung | Scientific modelling | Konsumtheorie | Consumption theory | Robustes Verfahren | Robust statistics | Stochastischer Prozess | Stochastic process | Substitutionselastizität | Elasticity of substitution | Kontrolltheorie | Control theory | Nutzen | Utility |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2016.05.012 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011657300