Dynamically consistent investment under model uncertainty: the robust forward criteria.

Sigrid Källblad Jan Oblój Thaleia Zariphopoulou

Published in: Finance Stochastics (2018)

Keyphrases

prior knowledge
probabilistic model
management system
computational model
prediction model
cost function
process model
mathematical model
conceptual model
similarity measure
em algorithm
computationally efficient
experimental data
decision theoretic