Optimal Portfolios for Unknown Variance in the Smooth Model
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Frank Riedel
Dec 1, 2025, 3:53:46 AM (5 days ago) Dec 1
to Decision Theory Forum
Dear forum,
we have been able to solve explicitly the optimal portfolio choice problem for the smooth ambiguity model when the variance is unknown and Gamma distributed. The comparative statics look intriguing, at least to us.
We would be curious to hear any comment!
All the best,
Frank
we have been able to solve explicitly the optimal portfolio choice problem for the smooth ambiguity model when the variance is unknown and Gamma distributed. The comparative statics look intriguing, at least to us.
We would be curious to hear any comment!
All the best,
Frank
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