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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

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

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

Equilibrium prices and trade under ambiguous volatility

Beißner, Patrick - In: Economic theory : official journal of the Society for … 64 (2017) 2, pp. 213-238

Persistent link: https://www.econbiz.de/10011740090

Navigating ambiguity : imprecise probabilities and the updating of disease risk beliefs

Kerwin, Jason; Pandey, Divya - 2023

Probabilistic risk beliefs are key drivers of economic and health decisions, but people are not always certain about … measurable separately from the levels of risk beliefs. People with higher levels of imprecision update their beliefs more in …

Persistent link: https://www.econbiz.de/10014390526

The gradient allocation principle based on the higher moment risk measure

Gómez, Fabio; Tang, Qihe; Tong, Zhiwei - In: Journal of banking & finance 143 (2022), pp. 1-18

Persistent link: https://www.econbiz.de/10013530990

On measuring uncertainty : snakes and ladders

Junankar, Pramod N. - 2016

although risk can be measured, uncertainty cannot be measured. Even though risk can be measured, a simple symmetric measure … attempt at "measuring" risk or (fundamental) uncertainty is flawed. …

Persistent link: https://www.econbiz.de/10011543578

Sustainability and its relation to efficiency under uncertainty

Krysiak, Frank C. - In: Economic theory : official journal of the Society for … 41 (2009) 2, pp. 297-315

Persistent link: https://www.econbiz.de/10003874071

The 1/N investment strategy is optimal under high model ambiguity

Pflug, Georg; Pichler, Alois; Wozabal, David - In: Journal of banking & finance 36 (2012) 2, pp. 410-417

Persistent link: https://www.econbiz.de/10009511313

Robust portfolio choice with ambiguity and learning about return predictability

Branger, Nicole; Larsen, Linda Sandris; Munk, Claus - In: Journal of banking & finance 37 (2013) 5, pp. 1397-1411

Persistent link: https://www.econbiz.de/10009729098

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