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Optimal portfolio choice with crash risk and model ambiguity
Korn, Ralf; Müller, Lukas - In: International journal of theoretical and applied … 25 (2022) 1, pp. 1-35
Persistent link: https://www.econbiz.de/10013189925
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Robust worst-case optimal investment
Desmettre, Sascha; Korn, Ralf; Ruckdeschel, Peter; … - In: OR spectrum : quantitative approaches in management 37 (2015) 3, pp. 677-701
Persistent link: https://www.econbiz.de/10011296715
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Nonconcave robust optimization with discrete strategies under Knightian uncertainty
Neufeld, Ariel; Ṥikić, Mario - In: Mathematical methods of operations research 90 (2019) 2, pp. 229-253
Persistent link: https://www.econbiz.de/10012132710
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Generalized entropy and model uncertainty
Meyer-Gohde, Alexander - 2017 - This version: August 4, 2017
popular Epstein-Zin-Weil recursive preferences as special cases. Besides providing a model uncertainty rationale to these risk …-Zin-Weil preferences yield comparable market prices of risk for given detection error probabilities. …
Persistent link: https://www.econbiz.de/10011701075
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Dynamically consistent investment under model uncertainty : the robust forward criteria
Källblad, Sigrid; Obłój, Jan; … - In: Finance and stochastics 22 (2018) 4, pp. 879-918
Persistent link: https://www.econbiz.de/10011946570
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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
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Robust investment strategies with two risky assets
Lin, Qian; Luo, Yulei; Sun, Xianming - In: Journal of economic dynamics & control 134 (2022), pp. 1-19
Persistent link: https://www.econbiz.de/10013383753
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Robust minimum variance portfolio optimization modelling under scenario uncertainty
Xidonas, Panos; Hassapis, Christis; Soulis, John; … - In: Economic modelling 64 (2017), pp. 60-71
Persistent link: https://www.econbiz.de/10011756471
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Reading the tea leaves : model uncertainty, robust forecasts, and the autocorrelation of analysts' forecast errors
Linnainmaa, Juhani; Torous, Walter N.; Yae, James - In: Journal of financial economics 122 (2016) 1, pp. 42-64
Persistent link: https://www.econbiz.de/10011590878
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Counterfactual sensitivity and robustness
Christensen, Tim; Connault, Benjamin - In: Econometrica : journal of the Econometric Society, an … 91 (2023) 1, pp. 263-298
Persistent link: https://www.econbiz.de/10014309654