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The possibilities and consequences of investment decisions by stepwise optimization
Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087
Persistent link: https://www.econbiz.de/10014374968
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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
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Dynamic asset allocation with ambiguous return predictability
Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823
Persistent link: https://www.econbiz.de/10011281431
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Mean-variance model for portfolio optimization problem in the simultaneous presence of random and uncertain returns
Qin, Zhongfeng - In: European journal of operational research : EJOR 245 (2015) 2, pp. 480-488
Persistent link: https://www.econbiz.de/10011308984
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Risk and ambiguity in models of business cycles
Backus, David; Ferriere, Axelle; Zin, Stanley E. - In: Journal of monetary economics 69 (2015), pp. 42-63
Persistent link: https://www.econbiz.de/10011326690
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Uncertainty, information acquisition, and price swings in asset markets
Mele, Antonio; Sangiorgi, Francesco - In: The review of economic studies 82 (2015) 4, pp. 1533-1567
Persistent link: https://www.econbiz.de/10011457032
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Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
Paç, A. Burak; Pınar, Mustafa Ç. - In: Top : transactions in operations research 22 (2014) 3, pp. 875-891
Persistent link: https://www.econbiz.de/10010437113
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Distinguishing rational and behavioral models of momentum
Li, Dongmei - In: The quarterly journal of finance 3 (2013) 3/4, pp. 1-30
Persistent link: https://www.econbiz.de/10010389087
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Momentum returns and information uncertainty : evidence from China
Cheema, Muhammad A.; Nartea, Gilbert V. - In: Pacific-Basin finance journal 30 (2014), pp. 173-188
Persistent link: https://www.econbiz.de/10010496355
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Reward-Risk Ratios
Cheridito, Patrick - 2013
We introduce three new families of reward-risk ratios, study their properties and compare them to existing examples … members only depend on the distribution of a return. In the second part of the paper we provide an overview of existing reward-risk …
Persistent link: https://www.econbiz.de/10013090253