Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium

Journal of Economic Theory

Volumn 128, Issue 1, 2006, Pages 136-163

  Maenhout, Pascal J ^a  

^a INSEAD   (France)

Author keywords

Detection error probability; Intertemporal hedging; Model uncertainty; Portfolio choice; Robustness

Indexed keywords

EID: 33646373647     PISSN: 00220531     EISSN: 10957235     Source Type: Journal    
DOI: 10.1016/j.jet.2005.12.012     Document Type: Article

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