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Università della Svizzera italiana

A review of perturbative approaches for robust optimal portfolio problems

Trojani, Fabio ; Vanini, Paolo

In: Computational methods in decision-making, economics and finance, 2002, p. 109

Only a few intertemporal optimal consumption and portfolio problems in partial and general equilibrium can be solved explicitly. It is illustrated in the paper that perturbation theory is a powerful tool for deriving approximate analytical solutions for the desired optimal policies in problems where general state dynamics are admitted and a preference for robustness is present. Starting from the...