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Persistent link: https://www.econbiz.de/10014282471
We consider a one-period portfolio optimization problem under model uncertainty. For this purpose, we introduce a measure of model risk. We derive analytical results for this measure of model risk in the mean-variance problem assuming we have observations drawn from a normal variance mixture...
Persistent link: https://www.econbiz.de/10010400258
Persistent link: https://www.econbiz.de/10011694391
We introduce a neural network approach for assessing the risk of a portfolio of assets and liabilities over a given time period. This requires a conditional valuation of the portfolio given the state of the world at a later time, a problem that is particularly challenging if the portfolio...
Persistent link: https://www.econbiz.de/10012203982