Browsing by Subject "Negative exponential"

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    Sur l’allocation dynamique de portefeuille robuste contre l’incertitude des rendements moyens
    (Taylor & Francis, 2014) Pınar, M. Ç.
    In an economy with a negative exponential utility investor facing a set of risky assets with normally distributed returns over multiple periods, we consider the problem of making an ambiguityrobust dynamic portfolio choice when the expected return information is uncertain. We pose the problem in the Adjustable Robust Optimization framework under ellipsoidal representation of the expected return uncertainty, and provide a closed-form solution in the form of a simple, dynamic, partially myopic portfolio policy. The result provides a guideline in the form of an upper bound for the choice of the parameter controlling the aversion to ambiguity.