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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
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Ambiguous investor sentiment
Wagner, Moritz; Wei, Xiaopeng - In: Finance research letters 67 (2024) 1, pp. 1-13
Persistent link: https://www.econbiz.de/10015061580
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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
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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
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Sharing model uncertainty
Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2024
Persistent link: https://www.econbiz.de/10014537225
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Robust portfolio optimization with environmental, social, and corporate governance preference
Escobar, Marcos; Jiao, Yiyao - In: Risks : open access journal 12 (2024) 2, pp. 1-29
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 …
Persistent link: https://www.econbiz.de/10014497337
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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
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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
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Doubts about the model and optimal policy
Karantounias, Anastasios G. - 2023
Persistent link: https://www.econbiz.de/10014318095
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Ambiguity and reality
Trojani, Fabio; Wiehenkamp, Christian; Wrampelmeyer, Jan - 2014 - This version: December 4, 2014
Persistent link: https://www.econbiz.de/10011343854