Robust consumption and portfolio rules with time-varying model confidence
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
|
Subject: | Model misspecification | Robust control | Portfolio selection | Stochastic differential utility | Elasticity of intertemporal substitution | Consumption | Portfolio-Management | Konsumtheorie | Consumption theory | Modellierung | Scientific modelling | Robustes Verfahren | Robust statistics | Stochastischer Prozess | Stochastic process | Intertemporale Entscheidung | Intertemporal choice |
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