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The non-linear trade-off between return and risk : a regime-switching multi-factor framework

Cotter, John; Salvador, Enrique - 2014

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The non-linear trade-off between return and risk and its determinants

Cotter, John; Salvador, Enrique - 2022

Persistent link: https://www.econbiz.de/10013184750

Asset Pricing under Ambiguity with Optimism and Pessimism

Ghazi, Soroush; Schneider, Mark - 2021

, equity premium, variance risk premium, and risk-neutral entropy) requires a minor deviation from expected utility theory and … expected utility preferences and ambiguity aversion. Within that framework, matching four market moments (the risk-free rate … generate a common mechanism underlying return predictability of the variance risk premium, market crash probability, and market …

Persistent link: https://www.econbiz.de/10013310291

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

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

Universal arbitrage aggregator in discrete-time markets under uncertainty

Burzoni, Matteo; Frittelli, Marco; Maggis, Marco - In: Finance and stochastics 20 (2016) 1, pp. 1-50

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Uncertainty in the Black-Litterman model : a practical note

Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019

Deriving an optimal asset allocation for institutional investors hinges crucially on the quality of inputs used in the optimization. If the mean vector and the covariance matrix are known with certainty, the classical mean-variance optimization of Markowitz (1952) produces optimal portfolios....