Robust asset allocation under model ambiguity
A decision maker, when facing a decision problem, often considers several models to represent the outcomes of the decision variable considered. More often than not, the decision maker does not trust fully any of those models and hence displays ambiguity or model uncertainty aversion. In this PhD the...
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London School of Economics and Political Science (University of London)
2010
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| Online Access: | http://ethos.bl.uk/OrderDetails.do?uin=uk.bl.ethos.550059 |