Robust consumption and portfolio choice for time varying investment opportunities

Annals of Finance

Volumn 6, Issue 4, 2010, Pages 435-454

  Liu, Hening ^a  

^a UNIVERSITY OF MANCHESTER   (United Kingdom)

Author keywords

Mean reverting; Portfolio choice; Recursive preferences; Robust control

Indexed keywords

EID: 77955852646     PISSN: 16142446     EISSN: 16142454     Source Type: Journal    
DOI: 10.1007/s10436-010-0164-4     Document Type: Article

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