Continuous-Time and Distributionally Robust Mean-Variance Models
This thesis contains three works in both continuous-time and distributionally robust mean-variance Markowitz models. In the first work, we study naive strategies in the continuous-time mean-variance model. We propose a new type of agent to approximate the dynamic of the naive agent by partitioning t...
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| Language: | English |
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2020
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| Online Access: | https://doi.org/10.7916/d8-n5ch-p863 |