| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5054219 | Economic Modelling | 2013 | 9 Pages |
Abstract
⺠Analyzing optimality of financial portfolios within utility with ambiguity aversion. ⺠Providing a general result about the optimal portfolio profile under ambiguity. ⺠Using approach includes multiple prior preferences and multiplier preferences. ⺠CRRA case is detailed with an ambiguity index based on relative entropy.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
H. Ben Ameur, J.L. Prigent,