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Robust portfolio choice with derivative trading under stochastic volatility

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157

Persistent link: https://www.econbiz.de/10011545164

Variance stochastic orders

Gollier, Christian - In: Journal of mathematical economics 80 (2019), pp. 1-8

Persistent link: https://www.econbiz.de/10012105651

Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?

Faria, Gonçalo; Correira-da-Silva, João - In: The European journal of finance 22 (2016) 7/9, pp. 601-626

Persistent link: https://www.econbiz.de/10011619083

Optimal Investment Models with Minimum Consumption Criteria

Fleming, Wendell H. - 2006

This paper considers a max-min formulation of multistage optimal investment and consumption problems, with uncertainties in the form of variable productivities of capital and interest rates. The criterion of control performance is minimum consumption over time, weighted by a coefficient which...

Persistent link: https://www.econbiz.de/10014060617

Robust portfolio choice under the 4/2 stochastic volatility model

Cheng, Yuyang; Escobar, Marcos - In: IMA journal of management mathematics 34 (2023) 1, pp. 221-256

Persistent link: https://www.econbiz.de/10013541857

The possibilities and consequences of investment decisions by stepwise optimization

Okunevičiūtė Neverauskienė, Laima; … - In: Economic research 35 (2022) 1,1, pp. 1061-1087

Persistent link: https://www.econbiz.de/10014374968

Ambiguous volatility, possibility and utility in continuous time

Epstein, Larry G.; Jib, Shaolin - In: Journal of mathematical economics 50 (2014), pp. 269-282

Persistent link: https://www.econbiz.de/10010478634

Higher-order dynamic effects of uncertainty risk under thick-tailed stochastic volatility

Gong, Xiao-Li; Lu, Jin-Yan; Xiong, Xiong; Zhang, Wei - In: Financial innovation : FIN 8 (2022), pp. 1-22

introduces the stochastic volatility shock that follows a thick-tailed Student's t-distribution into a high-order approximate …

Persistent link: https://www.econbiz.de/10013272633

Subjective expectations and uncertainty

Kocięcki, Andrzej; Łyziak, Tomasz; Stanisławska, Ewa - 2022

Persistent link: https://www.econbiz.de/10013188035

New formulations of ambiguous volatility with an application to optimal dynamic contracting

Hansen, Peter G. - In: Journal of economic theory 199 (2022), pp. 1-31

Persistent link: https://www.econbiz.de/10013193348

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