Uncertainty Aversion and Robust Portfolio Choices
Giannis Vardas () and
Anastasios Xepapadeas ()
No 408, Working Papers from University of Crete, Department of Economics
Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust control problem. Using a power utility function of the form C with 0
Keywords: Uncertainty Aversion; Model Misspeci…cation; Robust Control; Portfolio Choice Models (search for similar items in EconPapers)
JEL-codes: D81 G11 (search for similar items in EconPapers)
Pages: 29 pages
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Persistent link: https://EconPapers.repec.org/RePEc:crt:wpaper:0408
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