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Persistent link: https://www.econbiz.de/10001641348
This paper suggests that changing risk conveys information useful to improve performance.
Persistent link: https://www.econbiz.de/10005843230
We develop a continuous time general equilibrium model for the term structure of interest rates where economic agents are averse to model uncertainty and consider the possibility of a misspecified dynamic model for the latent risk factors driving interest rates. Aversion to model uncertainty is...
Persistent link: https://www.econbiz.de/10005858904