The 1/N investment strategy is optimal under high model ambiguity
Year of publication: |
2012
|
---|---|
Authors: | Pflug, Georg Ch. ; Pichler, Alois ; Wozabal, David |
Published in: |
Journal of Banking & Finance. - Elsevier, ISSN 0378-4266. - Vol. 36.2012, 2, p. 410-417
|
Publisher: |
Elsevier |
Subject: | Model uncertainty | Risk aware planning | Robust optimization |
-
Maillet, Bertrand B., (2021)
-
Optimal monetary policy under model uncertainty without commitment
Orlik, Anna, (2013)
-
Robust dynamic energy use and climate change
Li, Xin, (2016)
- More ...
-
The 1/N investment strategy is optimal under high model ambiguity
Pflug, Georg, (2012)
-
The 1/N investment strategy is optimal under high model ambiguity
Pflug, Georg Ch., (2012)
-
Time-inconsistent multistage stochastic programs : martingale bounds
Pflug, Georg, (2016)
- More ...