Conventional financial theory considers ex-ante that risk, generally measured by the volatility, has to be …

volatility and other characteristics. Across stocks, trading costs are unrelated to the magnitude of momentum profits …

use of computational methods and techniques for modelling financial asset prices, returns, and volatility, and on the use …

stochastic volatility. Although both types of ambiguity considerably impact the optimal portfolio, we show that stock return … ambiguity is more significant for stock allocation whereas volatility uncertainty has larger influence on derivatives trading …. As expected, investors with no access to derivatives would not have additional losses from ignoring volatility …