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Optimal investment in a general stochastic factor framework under model uncertainty
Work
Year: 2023
Type: article
Abstract: The present paper aims to study a robust-entropic optimal control problem arising in a general stochastic factor model framework. To be more precise, we consider a portfolio manager who has the possib... more
Source: Journal of Dynamics and Games
Author Ioannis Baltas
Institutions Athens University of Economics and Business, University of the Aegean
Cites: 57
Cited by: 2
Related to: 10
FWCI: 0.981
Citation percentile (by year/subfield): 83.99
Topic: Stochastic processes and financial applications
Subfield: Finance
Field: Economics, Econometrics and Finance
Domain: Social Sciences
Sustainable Development Goal Peace, justice, and strong institutions
Open Access status: gold