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Pascal Maenhout
Associate Professor of Finance
Journal Article
Maenhout P. (2004). Robust Portfolio Rules and Asset Pricing Review of Financial Studies, 17(4), pp. 951-983.
The author presents a new approach to the dynamic portfolio and consumption problem of an investor who worries about model uncertainty (in addition to market risk) and seeks robust decisions along the lines of Anderson, Hansen and Sargent (2000).