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Generalized entropy and model uncertainty

Meyer-Gohde, Alexander - In: Journal of economic theory 183 (2019), pp. 312-343

Persistent link: https://www.econbiz.de/10012131342

Model Uncertainty, Ambiguity Premium and Optimal Asset Allocation

Xu, Yuhong - 2016

. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty … subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation …

Persistent link: https://www.econbiz.de/10012987227

Predicting equity premium using news-based economic policy uncertainty : not all uncertainty changes are equally important

Nonejad, Nima - In: International review of financial analysis 77 (2021), pp. 1-20

Persistent link: https://www.econbiz.de/10012805880

Can unpredictable risk exposure be priced?

Barahona, Ricardo; Driessen, Joost; Frehen, Rik - In: Journal of financial economics 139 (2021) 2, pp. 522-544

Persistent link: https://www.econbiz.de/10012693684

Horizon-unbiased investment with ambiguity

Lin, Qian; Sun, Xianming; Zhou, Chao - In: Journal of economic dynamics & control 114 (2020), pp. 1-17

Persistent link: https://www.econbiz.de/10012502569

Model uncertainty and the Forward Premium Puzzle

Djeutem, Edouard - In: Journal of international money and finance 46 (2014), pp. 16-40

Persistent link: https://www.econbiz.de/10010391022

Risk aversion or model uncertainty? : an empirical cross-sectional analysis across countries

Engel, Pedro; Almeida, Caio; Valente, João Paulo - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 321-355

Persistent link: https://www.econbiz.de/10012129516

Fragile beliefs and the price of uncertainty

Hansen, Lars Peter; Sargent, Thomas J. - In: Quantitative economics : QE ; journal of the … 1 (2010) 1, pp. 129-162

history-dependent component to prices of risk. …

Persistent link: https://www.econbiz.de/10011719071

Doubts and variability : a robust perspective on exotic consumption series

Bidder, R. M.; Smith, M. E. - In: Journal of economic theory 175 (2018), pp. 689-712

Persistent link: https://www.econbiz.de/10011980773

Market pricing of longevity-linked securities

Tang, Sixian; Li, Jackie - In: Scandinavian actuarial journal 2021 (2021) 5, pp. 408-436

Persistent link: https://www.econbiz.de/10012588320

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