Optimal dynamic strategies derived for ambiguity-averse mean-variance investors in Black-Scholes markets with uncertain drifts and learning; ambiguity aversion reduces holdings in risky assets.
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Mean-Variance Optimization in Ambiguous Financial Markets with Learning
Optimal dynamic strategies derived for ambiguity-averse mean-variance investors in Black-Scholes markets with uncertain drifts and learning; ambiguity aversion reduces holdings in risky assets.