Dynamically consistent investment under model uncertainty: the robust forward criteria

Author:

Källblad Sigrid,Obłój Jan,Zariphopoulou Thaleia

Publisher

Springer Science and Business Media LLC

Subject

Statistics, Probability and Uncertainty,Finance,Statistics and Probability

Reference69 articles.

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4. Barberis, N., Thaler, R.: A survey of behavioral finance. In: Constantinides, G., et al. (eds.) Handbook of the Economics of Finance, vol. 1, pp. 1053–1128. Elsevier, Amsterdam (2003)

5. Bellini, F., Frittelli, M.: On the existence of minimax martingale measures. Math. Finance 12, 1–21 (2002)

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