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: D81 G11 (search for similar items in EconPapers)
Pages: 29 pages
Date: 2004-10-29
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Citations: View citations in EconPapers (1)

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