Vardas, Giannis; Xepapadeas, Anastasios - In: Ekonomia 8 (2005) 1, pp. 1-20
Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust control problem. Using a constant relative risk aversion (CRRA) utility function, we present the solution of the robust portfolio choice problem in the cases of one and two...