Optimal portfolio positioning under ambiguity☆
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منابع مشابه
Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets
This paper explicitly solves, in closed form, the optimal consumption and portfolio choice for an ambiguity averse investor in a Merton-type two assets economy where a risk premium follows a mean-reverting process. The investor’s preferences are represented by the recursive multiple priors utility model developed by Chen and Epstein (2002). The investor’s utility depends on both intermediate co...
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