G-expected utility maximization with ambiguous equicorrelation
Author:
Affiliation:
1. School of Physical and Mathematical Sciences, Nanyang Technological University, Singapore, Singapore
Funder
Ministry of Education, Singapore
Publisher
Informa UK Limited
Subject
General Economics, Econometrics and Finance,Finance
Link
https://www.tandfonline.com/doi/pdf/10.1080/14697688.2020.1777321
Reference37 articles.
1. Bates, D.J. Hauenstein, J.D. Sommese, A.J. and Wampler, C.W. Numerically Solving Polynomial Systems with Bertini, no. 25. In Software, Environments, and Tools, 2013, SIAM.
2. Exposition of a New Theory on the Measurement of Risk
3. The robust Merton problem of an ambiguity averse investor
4. Bruno Buchberger’s PhD thesis 1965: An algorithm for finding the basis elements of the residue class ring of a zero dimensional polynomial ideal
5. On the Benefits of Equicorrelation for Portfolio Allocation
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