Itô calculus, which makes no probabilistic assumptions whatsoever. This shows, on one hand, that CPPI and DPPI are …We consider Constant Proportion Portfolio Insurance (CPPI) and its dynamic extension, which may be called Dynamic … Proportion Portfolio Insurance (DPPI). It is shown that these investment strategies work within the setting of Föllmer's pathwise …

This paper studies how a central bank’s preference for robustness against model misspecification affects the design of … analytically for the optimal robust policy rule, and we separately analyse the effects of robustness against misspecification … robustness makes monetary policy respond more aggressively or more cautiously to shocks, depending on the type of shock and the …

rules and targeting rules under different timing assumptions. In all cases but one, an increased preference for robustness … assumption, however, increasing the preference for robustness has no effect on the optimal targeting rule (nor on the economy). …

This paper studies how a central bank’s preference for robustness against model misspecification affects the design of … analytically solve the optimal robust policy rule, and separately ana-lyze the effects of robustness against misspecification … robustness makes monetary policy respond more aggressively or more cautiously to shocks, depending on the type of shock and the …

rules and targeting rules under different timing assumptions. In all cases but one, an increased preference for robustness … assumption, however, increasing the preference for robustness has no effect on the optimal targeting rule (nor on the economy). …

investor's effective risk aversion. Using the model-uncertainty-induced utility function, we extend the "No Good Deals …

investor's eff ective risk aversion. Using the model-uncertainty-induced utility function, we extend the \No Good Deals …

’ concerns about robustness alters policy using the Hansen and Sargent (2003, 2008) approach. The analysis shows that a …