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Continuous-time portfolio selection under ambiguity
1. | Mathematical Institute, University of Oxford, Oxford OX2 6GG, United Kingdom, United Kingdom |
References:
[1] |
A. Ben-Tal and A. Nemirovski, Robust convex optimization, Math. Oepr. Res., 23 (1998), 796-805.
doi: 10.1287/moor.23.4.769. |
[2] |
S. Boyd, L. ElGhaoui, E. Feron and B. Balakrishnan, Linear Matrix Inequalities in System and Control Theory, SIAM Studies in Applied Mathematics, 15. Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 1994.
doi: 10.1137/1.9781611970777. |
[3] |
T. R. Bielecki, H. Jin, S. R. Pliska and X. Y. Zhou, Continuous-time mean-variance portfolio selection with bankruptcy prohibition, Math. Finance, 15 (2005), 213-244.
doi: 10.1111/j.0960-1627.2005.00218.x. |
[4] |
Z. Chen and L. Epstein, Ambiguity, risk, and asset returns in continuous time, Econometrica, 70 (2002), 1403-1443.
doi: 10.1111/1468-0262.00337. |
[5] |
V. K. Chopra and W. T. Ziemba, The effect of errors in means, variances and covariances on optimal portfolio choice, J. Portfolio Management, (1993), 6-11.
doi: 10.3905/jpm.1993.409440. |
[6] |
I. Gilboa and D. Schmeidler, Maxmin expected utility with non-unique prior, Journal of Mathematical Economics, 18 (1989), 141-153.
doi: 10.1016/0304-4068(89)90018-9. |
[7] |
D. Goldfarb and G. Iyengar, Robust portfolio selection problems, Mathematics of Operations Research, 28 (2003), 1-38.
doi: 10.1287/moor.28.1.1.14260. |
[8] |
A. Gundel, Robust utility maximization for complete and incomplete market models, Finance Stochast, 9 (2005), 151-176.
doi: 10.1007/s00780-004-0148-1. |
[9] |
L. P. Hanse and T. J. Sargent, Robust control and model uncertainty, The American Economic Review, 91 (2001), 60-66. |
[10] |
N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, Second edition. North-Holland Mathematical Library, 24. North-Holland Publishing Co., Amsterdam; Kodansha, Ltd., Tokyo, 1989. |
[11] |
J. E. Ingersoll, Theory of Financial Decision Making, Rowman and Littlefield, Savage, MD, 1987. |
[12] |
H. Jin, Z. Q. Xu and X. Y. Zhou, A convex stochastic optimization problem arising from portfolio selection, Math. Finance, 18 (2008), 171-183.
doi: 10.1111/j.1467-9965.2007.00327.x. |
[13] |
I. Karatzas and S. E. Shreve, Methods of Mathematical Finance, Springer-Verlag, New York, 1998.
doi: 10.1007/b98840. |
[14] |
R. W. Klein and V. S. Bawa, The effect of estimation risk on optimal portfolio choice, J. Financial Economics, 3 (1976), 215-231.
doi: 10.1016/0304-405X(76)90004-0. |
[15] |
P. Lakner, Utility maximization with partial information, Stochastic Processes and their Applications, 56 (1995), 247-273.
doi: 10.1016/0304-4149(94)00073-3. |
[16] |
H. Markowitz, Portfolio selection, J. Finance, 7 (1952), 77-91. |
[17] |
C. Skiadas, Robust control and recursive utility, Finance Stochast., 7 (2003), 475-489.
doi: 10.1007/s007800300100. |
[18] |
X. Y. Zhou and D. Li, Continuous time mean-variance portfolio selection: A stochastic LQ framework, Appl. Math. Optim., 42 (2000), 19-33.
doi: 10.1007/s002450010003. |
show all references
References:
[1] |
A. Ben-Tal and A. Nemirovski, Robust convex optimization, Math. Oepr. Res., 23 (1998), 796-805.
doi: 10.1287/moor.23.4.769. |
[2] |
S. Boyd, L. ElGhaoui, E. Feron and B. Balakrishnan, Linear Matrix Inequalities in System and Control Theory, SIAM Studies in Applied Mathematics, 15. Society for Industrial and Applied Mathematics (SIAM), Philadelphia, PA, 1994.
doi: 10.1137/1.9781611970777. |
[3] |
T. R. Bielecki, H. Jin, S. R. Pliska and X. Y. Zhou, Continuous-time mean-variance portfolio selection with bankruptcy prohibition, Math. Finance, 15 (2005), 213-244.
doi: 10.1111/j.0960-1627.2005.00218.x. |
[4] |
Z. Chen and L. Epstein, Ambiguity, risk, and asset returns in continuous time, Econometrica, 70 (2002), 1403-1443.
doi: 10.1111/1468-0262.00337. |
[5] |
V. K. Chopra and W. T. Ziemba, The effect of errors in means, variances and covariances on optimal portfolio choice, J. Portfolio Management, (1993), 6-11.
doi: 10.3905/jpm.1993.409440. |
[6] |
I. Gilboa and D. Schmeidler, Maxmin expected utility with non-unique prior, Journal of Mathematical Economics, 18 (1989), 141-153.
doi: 10.1016/0304-4068(89)90018-9. |
[7] |
D. Goldfarb and G. Iyengar, Robust portfolio selection problems, Mathematics of Operations Research, 28 (2003), 1-38.
doi: 10.1287/moor.28.1.1.14260. |
[8] |
A. Gundel, Robust utility maximization for complete and incomplete market models, Finance Stochast, 9 (2005), 151-176.
doi: 10.1007/s00780-004-0148-1. |
[9] |
L. P. Hanse and T. J. Sargent, Robust control and model uncertainty, The American Economic Review, 91 (2001), 60-66. |
[10] |
N. Ikeda and S. Watanabe, Stochastic Differential Equations and Diffusion Processes, Second edition. North-Holland Mathematical Library, 24. North-Holland Publishing Co., Amsterdam; Kodansha, Ltd., Tokyo, 1989. |
[11] |
J. E. Ingersoll, Theory of Financial Decision Making, Rowman and Littlefield, Savage, MD, 1987. |
[12] |
H. Jin, Z. Q. Xu and X. Y. Zhou, A convex stochastic optimization problem arising from portfolio selection, Math. Finance, 18 (2008), 171-183.
doi: 10.1111/j.1467-9965.2007.00327.x. |
[13] |
I. Karatzas and S. E. Shreve, Methods of Mathematical Finance, Springer-Verlag, New York, 1998.
doi: 10.1007/b98840. |
[14] |
R. W. Klein and V. S. Bawa, The effect of estimation risk on optimal portfolio choice, J. Financial Economics, 3 (1976), 215-231.
doi: 10.1016/0304-405X(76)90004-0. |
[15] |
P. Lakner, Utility maximization with partial information, Stochastic Processes and their Applications, 56 (1995), 247-273.
doi: 10.1016/0304-4149(94)00073-3. |
[16] |
H. Markowitz, Portfolio selection, J. Finance, 7 (1952), 77-91. |
[17] |
C. Skiadas, Robust control and recursive utility, Finance Stochast., 7 (2003), 475-489.
doi: 10.1007/s007800300100. |
[18] |
X. Y. Zhou and D. Li, Continuous time mean-variance portfolio selection: A stochastic LQ framework, Appl. Math. Optim., 42 (2000), 19-33.
doi: 10.1007/s002450010003. |
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