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Portfolio management with stochastic interest rates and inflation ambiguity

Munk, Claus; Rubtsov, Alexey - In: Annals of finance 10 (2014) 3, pp. 419-455

Persistent link: https://www.econbiz.de/10010399796

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

Robust Portfolio Choice with Ambiguity and Learning About Return Predictability

Branger, Nicole - 2020

We analyze the optimal stock-bond portfolio under both learning and ambiguity aversion. Stock returns are predictable by an observable and an unobservable predictor, and the investor has to learn about the latter. Furthermore, the investor is ambiguity-averse and has a preference for investment...

Persistent link: https://www.econbiz.de/10012857427

Hedging recessions

Branger, Nicole; Larsen, Linda Sandris; Munk, Claus - In: Journal of economic dynamics & control 107 (2019), pp. 1-24

Persistent link: https://www.econbiz.de/10012312632

Keep it Simple : Dynamic Bond Portfolios Under Parameter Uncertainty

Feldhütter, Peter - 2012

. Expected utility losses are increasing in the number of term structure factors and the complexity of the risk premium … specification. Even with long data sets to estimate parameters, an investor with typical risk aversion is better off following a …-factor affine model with time-varying risk premia …

Persistent link: https://www.econbiz.de/10013109502