Dynamically consistent investment under model uncertainty: the robust forward criteria
نویسندگان
چکیده
منابع مشابه
Dynamically consistent investment under model uncertainty: the robust forward criteria
We combine forward investment performance processes and ambiguity averse portfolio selection. We introduce robust forward criteria which address the ambiguity in specification of the model, the risk preferences and the investment horizon. They encode the evolution of dynamically consistent ambiguity averse preferences. We first focus on establishing dual characterizations of the robust forward ...
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ژورنال
عنوان ژورنال: Finance and Stochastics
سال: 2018
ISSN: 0949-2984,1432-1122
DOI: 10.1007/s00780-018-0368-4