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Dynamically consistent investment under model uncertainty: the robust forward criteria.
Sigrid Källblad
Jan Oblój
Thaleia Zariphopoulou
Published in:
Finance Stochastics (2018)
Keyphrases
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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