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Robust Portfolio Selection Involving Options Under a 'Marginal Joint' Ellipsoidal Uncertainty Set

Ling, Aifan - 2012

portfolio selection model with option protection is presented by combining options into the proposed robust portfolio selection … are derived. The proposed robust portfolio selection model with options can hedge risks and generates robust portfolios … with well wealth growth rate when an extreme event occurs. Tests on real data of China stock market and simulated options …

Persistent link: https://www.econbiz.de/10013108866

Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties

Maier, Sebastian; Pflug, Georg; Polak, John W. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 133-147

Persistent link: https://www.econbiz.de/10012239492

Robust irreversible investment strategy with ambiguity to jump and diffusion risk

Li, Shuang; Wang, Haijun - In: International review of finance : the official journal … 23 (2023) 3, pp. 645-665

Persistent link: https://www.econbiz.de/10014368442

Ambiguity and reality

Trojani, Fabio; Wiehenkamp, Christian; Wrampelmeyer, Jan - 2014 - This version: December 4, 2014

Persistent link: https://www.econbiz.de/10011343854

Hedging with small uncertainty aversion

Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - 2016

We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset. Rather than taking all models from a prespecified class equally seriously, we penalise less plausible ones based on their "distance" to a reference local volatility model. In...

Persistent link: https://www.econbiz.de/10011410718