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Robust investment strategies with two risky assets
Lin, Qian; Luo, Yulei; Sun, Xianming - In: Journal of economic dynamics & control 134 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013383753
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Model uncertainty and intertemporal tax smoothing
Luo, Yulei; Nie, Jun; Young, Eric R. - In: Journal of economic dynamics & control 45 (2014), pp. 289-314
Persistent link: https://www.econbiz.de/10010474424
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Robust portfolio choice with uncertainty about jump and diffusion risk
Branger, Nicole; Larsen, Linda Sandris - In: Journal of banking & finance 37 (2013) 12, pp. 5036-5047
Persistent link: https://www.econbiz.de/10010342132
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …
Persistent link: https://www.econbiz.de/10011382430
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Reward-risk portfolio selection and stochastic dominance
De Giorgi, Enrico - In: Journal of banking & finance 29 (2005) 4, pp. 895-926
Persistent link: https://www.econbiz.de/10002600375
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Horizon-unbiased investment with ambiguity
Lin, Qian; Sun, Xianming; Zhou, Chao - In: Journal of economic dynamics & control 114 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012502569
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How does background risk affect portfolio choice : an analysis based on uncertain mean-variance model with background risk
Huang, Xiaoxia; Yang, Tingting - In: Journal of banking & finance 111 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012221072
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Quantifying time-varying forecast uncertainty and risk for the real price of oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012545165
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Quantifying Time-Varying Forecast Uncertainty and Risk for the Real Price of Oil
Aastveit, Knut Are; Cross, Jamie; Dijk, Herman K. van - 2021
-varying forecast uncertainty and risk for the real price of oil over the period 1974-2018. We show that the combination approach … analysis of profit-loss and hedging against price risk. …
Persistent link: https://www.econbiz.de/10012795319
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Robust contracts with one-sided commitment
Niu, Yingjie; Yang, Jinqiang; Zou, Zhentao - In: Journal of economic dynamics & control 117 (2020), pp. 1-14
Persistent link: https://www.econbiz.de/10012503324