Thompson, Colin J.; Guttmann, Anthony J.; Thompson, Ben J.P. - In: Journal of Risk Finance 9 (2008) November, pp. 467-476
financial markets time series based on information-gap decision theory. Design/methodology/approach – Uncertainty in future … returns from financial markets is modeled using information-gap decision theory. The robustness function, which measures … performance requirements and alternative process model estimates for future returns could be included in the information-gap model …