This paper addresses the question of optimal currency exposure for a risk-and-ambiguity-avers international investor. A …

popular Epstein-Zin-Weil recursive preferences as special cases. Besides providing a model uncertainty rationale to these risk …-Zin-Weil preferences yield comparable market prices of risk for given detection error probabilities. …

area of environmental, social, and corporate governance (ESG) within portfolio decisions. It considers a risk- and … ambiguity-averse investor allocating resources to a risk-free asset, a market index, a green stock, and a brown stock. The study … study contrasts ambiguity-averse investors with their non-ambiguity counterparts, revealing more cautious risk exposures …

This paper studies the hedging of price risk when payment dates are uncertain, a problem that frequently occurs in … static hedging strategy is sufficient. -- risk management ; hedging ; forwards ; uncertainty of time …