Robust utility maximizing strategies under model uncertainty and their convergence
Year of publication: |
2022
|
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Authors: | Sass, Jörn ; Westphal, Dorothee |
Published in: |
Mathematics and financial economics. - Berlin : Springer, ISSN 1862-9660, ZDB-ID 2389109-9. - Vol. 16.2022, 2, p. 367-397
|
Subject: | Portfolio optimization | Drift uncertainty | Minimax theorems | Diversification | Theorie | Theory | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Risiko | Risk | Mathematische Optimierung | Mathematical programming |
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