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Investment decisions with two-factor uncertainty

Compernolle, Tine; Huisman, Kuno J. M.; Kort, Peter M.; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17

This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm to approximate the firm’s value function and optimal exercise boundary....

Persistent link: https://www.econbiz.de/10012795555

Portfolio selection with parameter and model uncertainty : a multi-prior approach

Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - 2005

Persistent link: https://www.econbiz.de/10003023172

Portfolio selection with parameter and model uncertainty : a multi-prior approach

Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - 2005

Persistent link: https://www.econbiz.de/10002863194

Life-cycle asset allocation with ambiguity aversion and learning

Peijnenburg, Kim - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 1962-1994

Persistent link: https://www.econbiz.de/10011959061

Risk return and portfolio allocation under alternative pension systems with imperfect financial markets

Miles, David - 2001

Persistent link: https://www.econbiz.de/10013423389

Return based risk measures for non-normally distributed returns : an alternative modelling approach

Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48

assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …

Persistent link: https://www.econbiz.de/10012795821