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Non-Implementability of Arrow-Debreu Equilibria by Continuous Trading Under Knightian Uncertainty
Riedel, Frank; Beissner, Patrick - Institut für Mathematische Wirtschaftsforschung, … - 2014
only possible if all discounted net trades of the equilibrium allocation are mean ambiguity-free. …
Persistent link: https://www.econbiz.de/10010929861
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Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets
Liu, Hening - In: Annals of Economics and Finance 14 (2013) 1, pp. 21-52
This paper explicitly solves, in closed form, the optimal consumption and portfolio choice for an ambiguity averse … martingale method to solve the dynamic optimization problem in continuous time. I find that ambiguity can decrease the optimal … of hedging demand in the optimal portfolio allocation. In addition, ambiguity also increases riskless savings. …
Persistent link: https://www.econbiz.de/10010819323
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Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?
Faria, Gonçalo; Correia-da-Silva, João - Faculdade de Economia, Universidade do Porto - 2012
to assess if this continues to be true in the presence of ambiguity. Adopting robust control and perturbation theory … techniques, we study the problem of a long-horizon investor with recursive preferences that faces ambiguity about the stochastic … processes that generate the investment opportunity set. We find that ambiguity impacts portfolio choice, with the relevant …
Persistent link: https://www.econbiz.de/10010634122
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Aspecte privind managementul portofoliilor – metode si modele utilizate
MARINESCU, Radu Titus; ANGHEL, Madalina Gabriela - In: Romanian Statistical Review Supplement 61 (2013) 1, pp. 259-265
The Management of financial instruments portfolios is a complex activity that is based on a series of scientific models through which it is possible to assess the financial performance of securities markets, but also the risks the investors expose themselves. Although it is recommended that...
Persistent link: https://www.econbiz.de/10010633825
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Stochastic differential utility as the continuous-time limit of recursive utility
Kraft, Holger; Seifried, Frank Thomas - Research Center SAFE (Sustainable Architecture for … - 2013
We establish a convergence theorem that shows that discrete-time recursive utility, as developed by Kreps and Porteus (1978), converges to stochastic differential utility, as introduced by Duffie and Epstein (1992), in the continuous-time limit of vanishing grid size.
Persistent link: https://www.econbiz.de/10010955136
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Dynamic Variational Preferences
Maccheroni, Fabio; Marinacci, Massimo; Rustichini, Aldo - Collegio Carlo Alberto, Università degli Studi di Torino - 2006
We introduce and axiomatize dynamic variational preferences, the dynamic version of the variational preferences we axiomatized in [21], which generalize the multiple priors preferences of Gilboa and Schmeidler [9], and include the Multiplier Preferences inspired by robust control and first used...
Persistent link: https://www.econbiz.de/10005094065
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Asset pricing and consumption-portfolio choice with recursive utility and unspanned risk
Kraft, Holger; Seiferling, Thomas; Seifried, Frank Thomas - Research Center SAFE (Sustainable Architecture for … - 2014
We study consumption-portfolio and asset pricing frameworks with recursive preferences and unspanned risk. We show that in both cases, portfolio choice and asset pricing, the value function of the investor/representative agent can be characterized by a specific semilinear partial differential...
Persistent link: https://www.econbiz.de/10010955140
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Minimum Tracking Error Volatility
Riccetti, Luca - Dipartimento di Scienze Economiche e Sociali, Facoltà … - 2010
Investors assign part of their funds to asset managers that are given the task of beating a benchmark. The risk management department usually imposes a maximum value of the tracking error volatility (TEV) in order to keep the risk of the portfolio near to that of the selected benchmark. However,...
Persistent link: https://www.econbiz.de/10008509710
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Ambiguous Jump-Diffusions and Optimal Stopping
Boyarchenko, Svetlana; Levendorskii, Sergei - Department of Economics, University of Texas-Austin - 2014
An ambiguity averse decision-maker contemplates investment of a fixed size capital into a project with a stochastic …
Persistent link: https://www.econbiz.de/10010944717
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A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility
Faria, Gonçalo; Correia-da-Silva, João - Faculdade de Economia, Universidade do Porto - 2011
We derive a closed-form solution for the price of a European call option in the presence of ambiguity about the … a particular case of ours, corresponding to the case in which there is no ambiguity (uncertainty is exclusively risk …). In the presence of ambiguity, the variance uncertainty price becomes either a convex or a concave function of the …
Persistent link: https://www.econbiz.de/10010617858