Robust Portfolio Choice with Ambiguity and Learning About Return Predictability

2012 ◽  
Author(s):  
Nicole Branger ◽  
Linda Sandris Larsen ◽  
Claus Munk
Keyword(s):  
Portfolio Choice ◽  
Return Predictability ◽  
Robust Portfolio

Robust portfolio choice with ambiguity and learning about return predictability

2013 ◽  
Vol 37 (5) ◽  
pp. 1397-1411 ◽  
Author(s):  
Nicole Branger ◽  
Linda Sandris Larsen ◽  
Claus Munk
Keyword(s):  
Portfolio Choice ◽  
Return Predictability ◽  
Robust Portfolio

Robust portfolio choice with derivative trading under stochastic volatility

2015 ◽  
Vol 61 ◽  
pp. 142-157 ◽  
Author(s):  
Marcos Escobar ◽  
Sebastian Ferrando ◽  
Alexey Rubtsov
Keyword(s):  
Stochastic Volatility ◽  
Portfolio Choice ◽  
Robust Portfolio

Robust portfolio choice with uncertainty about jump and diffusion risk

2013 ◽  
Vol 37 (12) ◽  
pp. 5036-5047 ◽  
Author(s):  
Nicole Branger ◽  
Linda Sandris Larsen
Keyword(s):  
Portfolio Choice ◽  
Robust Portfolio ◽  
And Diffusion

scholarly journals A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

2005 ◽  
Vol 18 (3) ◽  
pp. 831-873 ◽  
Author(s):  
Michael W. Brandt ◽  
Amit Goyal ◽  
Pedro Santa-Clara ◽  
Jonathan R. Stroud
Keyword(s):  
Portfolio Choice ◽  
Return Predictability ◽  
Simulation Approach ◽  
Dynamic Portfolio ◽  
Dynamic Portfolio Choice

Robust Portfolio Choice with Learning in the Framework of Regret: Single-Period Case

2012 ◽  
Vol 58 (9) ◽  
pp. 1732-1746 ◽  
Author(s):  
Andrew E. B. Lim ◽  
J. George Shanthikumar ◽  
Gah-Yi Vahn
Keyword(s):  
Portfolio Choice ◽  
Single Period ◽  
Robust Portfolio

scholarly journals Robust Portfolio Choice and Indifference Valuation

2014 ◽  
Vol 39 (4) ◽  
pp. 1109-1141 ◽  
Author(s):  
Roger J. A. Laeven ◽  
Mitja Stadje
Keyword(s):  
Portfolio Choice ◽  
Indifference Valuation ◽  
Robust Portfolio
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