Robust state-dependent mean–variance portfolio selection : a closed-loop approach
This paper studies a class of robust mean–variance portfolio selection problems with state-dependent risk aversion. Model uncertainty, in the sense of considering alternative dominated models, is introduced to the problem to reflect the investor’s uncertainty-averse preference. To characterise the r...
| Prif Awduron: | , , |
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| Awduron Eraill: | |
| Fformat: | Journal Article |
| Iaith: | English |
| Cyhoeddwyd: |
2022
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| Pynciau: | |
| Mynediad Ar-lein: | https://hdl.handle.net/10356/155833 |