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Portfolio selections for insurers with ambiguity aversion : minimizing the probability of ruin

Liu, Bing; Zhang, Lihong; Zhou, Ming - In: Applied economics 56 (2024) 12, pp. 1423-1439

Persistent link: https://www.econbiz.de/10014471101

An ambiguity measure under EUUP and its application to a portfolio problem

Iwaki, Hideki - In: Journal of mathematical finance 10 (2020) 2, pp. 287-305

Persistent link: https://www.econbiz.de/10012545704

Optimal reinsurance to minimize the discounted probability of ruin under ambiguity

Li, Danping; Young, Virginia R. - In: Insurance / Mathematics & economics 87 (2019), pp. 143-152

Persistent link: https://www.econbiz.de/10012058937

Dynamic Asset Allocation Based on Valuation and Momentum Applied to a Global All-Equity Portfolio

White, James - 2020

There has been considerable research into dynamic global tactical asset allocation (GTAA) strategies driven by simple measures of Valuation and Momentum applied to a baseline balanced portfolio of equities and fixed income (see Blitz and van Vliet 2008, Wang and Kochard 2011, Gnedenko and Yelnik...

Persistent link: https://www.econbiz.de/10012838940

Almost stochastic dominance for most risk-averse decision makers

Luo, Chunling; Tan, Chin Hon - In: Decision analysis : a journal of the Institute for … 17 (2020) 2, pp. 169-184

Persistent link: https://www.econbiz.de/10012249957

A Probability Weighting Function for Cumulative Prospect Theory and Mean-Gini Approach to Optimal Portfolio Investment

Blavatskyy, Pavlo R. - 2014

prospect theory as well as its special cases — Quiggin (1981) rank-dependent utility and Yaari (1987) dual model. The proposed … averse (attracted) to the dispersion of outcomes. Cumulative prospect theory with our proposed probability weighting function …

Persistent link: https://www.econbiz.de/10013060674