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Robust utility maximization in a multivariate financial market with stochastic drift
Sass, Jörn; Westphal, Dorothee - In: International journal of theoretical and applied finance 24 (2021) 4, pp. 1-28
Persistent link: https://www.econbiz.de/10012652713
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Time-inconsistent Markovian control problems under model uncertainty with application to the mean-variance portfolio selection
Bielecki, Tomasz R.; Chen, Tao; Cialenco, Igor - In: International journal of theoretical and applied finance 24 (2021) 1, pp. 1-28
Persistent link: https://www.econbiz.de/10012650186
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Portfolio insurance under rough volatility and Volterra processes
Dupret, Jean-Loup; Hainaut, Donatien - In: International journal of theoretical and applied finance 24 (2021) 6/7, pp. 1-37
Persistent link: https://www.econbiz.de/10012807860
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Policymakers' uncertainty
Cieślak, Anna; Hansen, Stephen; McMahon, Michael; … - 2023
Persistent link: https://www.econbiz.de/10014391687
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Measuring default risk for a portfolio of equities
Rodrigues, Matheus Pimentel; Maialy, Andre Cury - In: International journal of theoretical and applied finance 22 (2019) 1, pp. 1-21
Persistent link: https://www.econbiz.de/10012012883
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Set-valued law invariant coherent and convex risk measures
Chen, Yanhong; Hu, Yijun - In: International journal of theoretical and applied finance 22 (2019) 3, pp. 1-18
Persistent link: https://www.econbiz.de/10012019780
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On the shape of risk aversion and asset allocation
Six, Pierre - In: International journal of theoretical and applied finance 17 (2014) 8, pp. 1-27
Persistent link: https://www.econbiz.de/10010498792
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Correlation risk, strings and asset prices
Mele, Antonio; Distaso, Walter; Vilkov, Grigory - 2019
Persistent link: https://www.econbiz.de/10012181112
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The murder-suicide of the rentier : population aging and the risk premium
Kopecky, Joseph V.; Taylor, Alan M. - 2020
Persistent link: https://www.econbiz.de/10012221099
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More risk, more information : how passive ownership can improve informational efficiency
Buss, Adrian; Sundaresan, Savitar - 2020
Persistent link: https://www.econbiz.de/10012228949