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All wealth in assets is optimal under interest rate uncertainty

Lin, Qian; Riedel, Frank - 2019

Persistent link: https://www.econbiz.de/10015422240

Belief-neutral efficiency in financial markets

Beißner, Patrick; Riedel, Frank - 2025

Heterogeneous beliefs among market participants can lead to questionable speculative trading that goes beyond any risk … pricing for ambiguous contracts, without compromising legitimate risk-hedging activities. While Arrow-Debreu equilibria …

Persistent link: https://www.econbiz.de/10015272951

Locally constant model uncertainty risk measure

Obradović, Lazar - 2019

This paper introduces a (coherent) risk measure that describes the uncertainty of the model (represented by a … representation is obtained that gives a connection to both the expected loss of the financial position and its average value-at-risk … problems reveals examples of extreme sensitivity of optimal portfolios to model parameters and the choice of risk measure. …

Persistent link: https://www.econbiz.de/10011967405

Generalized entropy and model uncertainty

Meyer-Gohde, Alexander - 2017 - This version: August 4, 2017

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. …

Persistent link: https://www.econbiz.de/10011701075

Ambiguity and the home currency bias

Ulrych, Urban; Vasiljević, Nikola - 2020 - This Version: August 2020

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

Persistent link: https://www.econbiz.de/10012271218

Large-scale portfolio allocation under transaction costs and model uncertainty

Hautsch, Nikolaus; Voigt, Stefan - 2017

We theoretically and empirically study large-scale portfolio allocation problems when transaction costs are taken into account in the optimization problem. We show that transaction costs act on the one hand as a turnover penalization and on the other hand as a regularization, which shrinks the...

Persistent link: https://www.econbiz.de/10011755791

Sharing model uncertainty

Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2024

Persistent link: https://www.econbiz.de/10014537225

Ambiguity and reality

Trojani, Fabio; Wiehenkamp, Christian; Wrampelmeyer, Jan - 2014 - This version: December 4, 2014

Persistent link: https://www.econbiz.de/10011343854

Ordering ambiguous acts

Jewitt, Ian; Mukerji, Sujoy - 2017

We investigate what it means for one act to be more ambiguous than another. The question is evidently analogous to asking what makes one prospect riskier than another, but beliefs are neither objective nor representable by a unique probability. Our starting point is an abstract class of...

Persistent link: https://www.econbiz.de/10011694759

Model uncertainty, improved Fréchet-Hoeffding bounds and applications in mathematical finance

Lux, Thibaut - 2017

Persistent link: https://www.econbiz.de/10012194488