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Valuing an investment project using no-arbitrage and the alpha-maxmin criteria : from Knightian uncertainty to risk
Braouezec, Yann; Joliet, Robert - In: Economics letters 178 (2019), pp. 111-115
Persistent link: https://www.econbiz.de/10012121654
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Maximum probabilities, information, and choice under uncertainty
Burghart, Dan - In: Economics letters 167 (2018), pp. 43-47
Persistent link: https://www.econbiz.de/10012015769
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Second-order uncertainty and naive diversification
Mahmoud, Ola - In: Economics letters 216 (2022), pp. 1-4
Persistent link: https://www.econbiz.de/10013448330
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Investment decisions with two-factor uncertainty
Compernolle, Tine; Huisman, Kuno J. M.; Kort, Peter M.; … - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-17
This paper considers investment problems in real options with non-homogeneous two-factor uncertainty. We derive some analytical properties of the resulting optimal stopping problem and present a finite difference algorithm to approximate the firm’s value function and optimal exercise boundary....
Persistent link: https://www.econbiz.de/10012795555
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The second moments matter : the impact of macroeconomic uncertainty on the allocation of loanable funds
Baum, Christopher F.; Caglayan, Mustafa; Ozkan, Neslihan - In: Economics letters 102 (2009) 2, pp. 87-89
Persistent link: https://www.econbiz.de/10003818338
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Observational equivalence and nonequivalence of subjective and robust mean-variance preferences
Wakai, Katsutoshi - In: Economics letters 124 (2014) 2, pp. 219-221
Persistent link: https://www.econbiz.de/10010493720
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Ambiguity premium and transaction costs
Jang, Bong-Gyu; Kim, Taeyoon; Lee, Seungkyu; Park, Seyoung - In: Economics letters 207 (2021), pp. 1-5
Persistent link: https://www.econbiz.de/10013169813
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Life-cycle asset allocation with ambiguity aversion and learning
Peijnenburg, Kim - In: Journal of financial and quantitative analysis : JFQA 53 (2018) 5, pp. 1962-1994
Persistent link: https://www.econbiz.de/10011959061
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The momentum ambiguity and investor trading behavior
Wang, Lunyi; Yang, Shiqi; Zhao, Sibo - In: Economics letters 235 (2024), pp. 1-7
Persistent link: https://www.econbiz.de/10015071330
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Return based risk measures for non-normally distributed returns : an alternative modelling approach
Samunderu, Eyden; Murahwa, Yvonne T. - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-48
assumptions alone in measuring risk. Cushioning against risk has always created a plethora of complexities and challenges; hence …, this paper attempts to analyse statistical properties of various risk measures in a not normal distribution and provide a … financial blueprint on how to manage risk. It is assumed that using old assumptions of normality alone in a distribution is not …
Persistent link: https://www.econbiz.de/10012795821