77 citations · 93 across the 14 of their papers we have counts for
3 papers · 1 filter
Ergodic robust maximization of asymptotic growth
Constantinos Kardaras, Scott Robertson
We consider the problem of robustly maximizing the growth rate of investor wealth in the presence of model uncertainty. Possible models are all those under which the assets' region…
Abstract, Classic, and Explicit Turnpikes
Paolo Guasoni, Constantinos Kardaras, Scott Robertson +1
Portfolio turnpikes state that, as the investment horizon increases, optimal portfolios for generic utilities converge to those of isoelastic utilities. This paper proves three kin…
Robust maximization of asymptotic growth
Constantinos Kardaras, Scott Robertson
This paper addresses the question of how to invest in a robust growth-optimal way in a market where the instantaneous expected return of the underlying process is unknown. The opti…