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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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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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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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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
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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
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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
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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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Robust portfolio choice with derivative trading under stochastic volatility
Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157
Persistent link: https://www.econbiz.de/10011545164
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Deciphering robust portfolios
Kim, Woo Chang; Kim, Jang Ho; Fabozzi, Frank J. - In: Journal of banking & finance 45 (2014), pp. 1-8
Persistent link: https://www.econbiz.de/10010466688
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Dynamic portfolio optimization with ambiguity aversion
Zhang, Jinqing; Jin, Zeyu; An, Yunbi - In: Journal of banking & finance 79 (2017), pp. 95-109
Persistent link: https://www.econbiz.de/10011815139