Robust portfolio choice with limited attention
This paper investigates a robust portfolio selection problem with the agent's limited attention. The agent has access to a risk-free asset and a stock in a financial market. But she does not observe perfectly the expected return rate of the stock so she has to estimate this key parameter before...
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
AIMS Press
2023-04-01
|
| Series: | Electronic Research Archive |
| Subjects: | |
| Online Access: | https://www.aimspress.com/article/doi/10.3934/era.2023186?viewType=HTML |