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Asymmetric ambiguity spillover among international equity markets

Qin, Xiao; Wang, Yuwen - In: Applied economics letters 30 (2023) 13, pp. 1843-1849

Persistent link: https://www.econbiz.de/10014305155

Robust stock and bond allocation with end-of-horizon effects

Dziecichowicz, Michael; Thiele, Aurélie C. - In: RAIRO / Operations research 53 (2019) 1, pp. 1-28

Persistent link: https://www.econbiz.de/10012113607

Would Ambiguity Averse Investors Hedge Risk in Equity Markets?

Gertsman, Gleb - 2020

. An investor who wants to hedge, say inflation or crash risk, generally faces substantially more beta uncertainty in the … that equilibrium risk premiums for assets with large beta uncertainty (long-short portfolio of stocks) decline once … derivatives with less beta uncertainty (TIPS and options) are introduced. In line with this theory, we find that the inflation …

Persistent link: https://www.econbiz.de/10012846419

Expectations concordance and stock market volatility : Knightian uncertainty in the year of the pandemic

Frydman, Roman; Mangee, Nicholas - In: Journal of risk and financial management : JRFM 14 (2021) 11, pp. 1-13

This study introduces a novel index based on expectations concordance for explaining stock-price volatility when novel events that are each somewhat unique cause unforeseeable change and Knightian uncertainty in the process driving outcomes. Expectations concordance measures the degree to which...

Persistent link: https://www.econbiz.de/10012795039