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Superreplication under model uncertainty in discrete time
Nutz, Marcel - In: Finance and stochastics 18 (2014) 4, pp. 791-803
Persistent link: https://www.econbiz.de/10010416246
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Optimal granularity for portfolio choice
Branger, Nicole; Lučivjanská, Katarína; … - In: Journal of empirical finance 50 (2019), pp. 125-146
Persistent link: https://www.econbiz.de/10012169950
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Aggregate investor preferences and beliefs : a comment
Post, Thierry; Kopa, Miloš - In: Journal of empirical finance 23 (2013), pp. 187-190
Persistent link: https://www.econbiz.de/10010221754
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A two-parameter model of dispersion aversion
Chambers, Robert G.; Grant, Simon; Polak, Ben; Quiggin, … - In: Journal of economic theory 150 (2014), pp. 611-641
Persistent link: https://www.econbiz.de/10010360468
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Market Equilibrium Implied Risk Aversion and Utility
Paganopoulos, Stylianos - 2009
Using as a starting point a popular version of the utility function, we obtain a value for the risk aversion parameter …
Persistent link: https://www.econbiz.de/10013156486
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Portfolio choice and asset pricing under model uncertainty
Wu, Lue - 2007
Persistent link: https://www.econbiz.de/10003812033
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Good deals and benchmarks in robust portfolio selection
Balbás de la Corte, Alejandro; Balbás, Beatriz; … - In: European journal of operational research : EJOR 250 (2016) 2, pp. 666-678
Persistent link: https://www.econbiz.de/10011441733
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Collective risk-taking decisions with heterogeneous beliefs
Gollier, Christian - 2003
degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …
Persistent link: https://www.econbiz.de/10011507677
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Model Uncertainty, Ambiguity Premium and Optimal Asset Allocation
Xu, Yuhong - 2016
subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation … ambiguity premium and risk premium demonstrate that a decrease in ambiguity premium on volatility gives rise to an increase in …
Persistent link: https://www.econbiz.de/10012987227
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Uncertainty Times for Portfolio Selection at Financial Market
Oliveira, Andre Barbosa - 2018
The financial market presents non-linearities for the behavior of stock returns for periods of high and low market. This article studies portfolios whose variance-covariance matrices are estimates using a multivariate model with regime change. Investment strategies for portfolios are presented...
Persistent link: https://www.econbiz.de/10012924513