Age-dependent robust strategic asset allocation with inflation–deflation hedging demand

This study analyzes robust strategic asset allocation under a quadratic security market model with stochastic volatility and inflation rates assuming “age-dependent robust utility” in which relative ambiguity aversion is a decreasing function of age. We show that, unlike homothetic robust utility, a...

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Veröffentlicht in:Mathematics and financial economics 2024-12, Vol.18 (4), p.641-670
Hauptverfasser: Kikuchi, Kentaro, Kusuda, Koji
Format: Artikel
Sprache:eng
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