This article aims to characterise and construct a methodology for robust portfolio allocation under model risk, that is, when investors consider different models to take their allocation decision.
1. Klibanoff, Marinacci & Mukerji (2005) only give a simple numerical example for a portfolio with three assets, whereas practitioners often consider portfolios with hundreds of assets. We have compared their example with our methodology in Barrieu & Tobelem (2008) and we also provide a more complex th
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