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Robust minimum variance portfolio optimization modelling under scenario uncertainty

Xidonas, Panos; Hassapis, Christis; Soulis, John; … - In: Economic modelling 64 (2017), pp. 60-71

Persistent link: https://www.econbiz.de/10011756471

Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon

Zeng, Yan; Wu, Huiling; Lai, Yongzeng - In: Economic modelling 33 (2013), pp. 462-470

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Interval portfolio selection models within the framework of uncertainty theory

Li, Xiang; Qin, Zhongfeng - In: Economic modelling 41 (2014), pp. 338-344

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Robust portfolio selection with subjective risk aversion under dependence uncertainty

Su, Xiaoshan; Li, Yuhan - In: Economic modelling 132 (2024), pp. 1-16

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Evaluating monetary policy rules under fundamental uncertainty : an info-gap approach

Ben-Haim, Yakov; Demertzis, Maria; End, Jan-Willem van den - In: Economic modelling 73 (2018), pp. 55-70

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Inflation contract, central bank transparency and model uncertainty

Dai, Meixing; Spyromitros, Eleftherios - In: Economic modelling 29 (2012) 6, pp. 2371-2381

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Robust optimal macroprudential policy

Montamat, Giselle; Roch, Francisco - 2021

We consider how fear of model misspecification on the part of the planner and/or the households affects welfare gains from optimal macroprudential taxes in an economy with occasionally binding collateral constraints as in Bianchi (2011). On the one hand, there exist welfare gains from...