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Dynamic Portfolio Selection Under Ambiguity in the [Formula: see text]-Contaminated Binomial Model
Investors often need to look for an optimal portfolio acting under ambiguity, as they may not be able to single out a unique real-world probability measure. In this paper a discrete-time dynamic portfolio selection problem is studied, referring to an [Formula: see text]-contaminated binomial market...
| Autores principales: | , , |
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| Formato: | Online Artículo Texto |
| Lenguaje: | English |
| Publicado: |
2020
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| Materias: | |
| Acceso en línea: | https://www.ncbi.nlm.nih.gov/pmc/articles/PMC7274693/ http://dx.doi.org/10.1007/978-3-030-50143-3_16 |