This paper analyzes the optimality of financial portfolios when the investor has a utility with ambiguity aversion. It provides a general result about the optimal portfolio profile under ambiguity, in the Anscombe–Aumann framework, using the Maccheroni et al. (2006) approach which includes...

The research on financial portfolio optimization has been originally developed by Markowitz (1952). It has been further extended in many directions, among them the portfolio insurance theory introduced by Leland and Rubinstein (1976) for the “Option Based Portfolio Insurance” (OBPI) and...

Macroeconomic time series often involve a threshold effect in their ARMA representation, and exhibit long memory features. In this paper we introduce a new class of threshold ARFIMA models to account for this. The threshold effect is introduced in the autoregressive and/or fractional integration...

We present explicit formulae allowing us to price compound and exchange options in the framework of the affine term structure model. The various proposed options deal with discount bonds, coupon bonds and yields. A probabilistic approach is adopted in order to find closed-form pricing formulae....