The 1/ N investment strategy is optimal under high model ambiguity

By Georg Ch. Pflug, Alois Pichler, David Wozabal. 2012

216 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/2ef2973004c56bc37fe1f602a1ccf08a98a743c9

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Finance

1. Hamed Rahimian
2. Sanjay Mehrotra

In Management Science and Operations Research

1. Hamed Rahimian
2. Sanjay Mehrotra

Citations in the corpus

• Distributionally Robust Optimization: A Review (2019, background): “[233], Pichler [235], Wozabal [320], Pichler and Xu [236] for spectral and distortion risk measures, Calafiore [59] for variance, Calafiore [59] for mean absolutedeviation, Hanasusanto et al.”