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Optimal consumption and portfolio choice with ambiguous interest rates and volatility

Lin, Qian; Riedel, Frank - In: Economic theory 71 (2021) 3, pp. 1189-1202

Persistent link: https://www.econbiz.de/10012584420

Ambiguous investor sentiment

Wagner, Moritz; Wei, Xiaopeng - In: Finance research letters 67 (2024) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10015061580

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

Robust Hedging GANs : towards automated robustification of hedging strategies

Limmer, Yannick; Horvath, Blanka - In: Applied mathematical finance 31 (2024) 3, pp. 164-201

Persistent link: https://www.econbiz.de/10015415723

Doubts about the model and optimal policy

Karantounias, Anastasios G. - 2020

This paper analyzes optimal policy in setups where both the leader and the follower have doubts about the probability model of uncertainty. I illustrate the methodology in two environments: a) an industry populated with a large firm and many small firms in a competitive fringe, where both types...

Persistent link: https://www.econbiz.de/10012256581