EconPapers    
Economics at your fingertips  
 

Uncertainty Aversion and Robust Portfolio Choices

Giannis Vardas () and Anastasios Xepapadeas ()

No 408, Working Papers from University of Crete, Department of Economics

Abstract: 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: G11 D81 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2004-10-29
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://economics.soc.uoc.gr/wpa/docs/revisedcopyofekonomia3.pdf First version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:crt:wpaper:0408

Access Statistics for this paper

More papers in Working Papers from University of Crete, Department of Economics Contact information at EDIRC.
Bibliographic data for series maintained by Kostis Pigounakis ().

 
Page updated 2020-03-29
Handle: RePEc:crt:wpaper:0408