Please use this identifier to cite or link to this item: https://scholarbank.nus.edu.sg/handle/10635/163346
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dc.titleHorizon-unbiased Investment with Ambiguity
dc.contributor.authorLin, Qian
dc.contributor.authorSun, Xianming
dc.contributor.authorZhou, Chao
dc.date.accessioned2020-01-02T08:11:58Z
dc.date.available2020-01-02T08:11:58Z
dc.date.issued2019-04
dc.identifier.citationLin, Qian, Sun, Xianming, Zhou, Chao (2019-04). Horizon-unbiased Investment with Ambiguity. ScholarBank@NUS Repository.
dc.identifier.urihttps://scholarbank.nus.edu.sg/handle/10635/163346
dc.description.abstractIn the presence of ambiguity on the driving force of market randomness, we consider the dynamic portfolio choice without any predetermined investment horizon. The investment criteria is formulated as a robust forward performance process, reflecting an investor's dynamic preference. We show that the market risk premium and the utility risk premium jointly determine the investors' trading direction and the worst-case scenarios of the risky asset's mean return and volatility. The closed-form formulas for the optimal investment strategies are given in the special settings of the CRRA preference.
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dc.subjectq-fin.MF
dc.subjectq-fin.MF
dc.typeArticle
dc.date.updated2020-01-02T07:57:37Z
dc.contributor.departmentMATHEMATICS
dc.published.statePublished
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