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On the economic benefit of utility based estimation of a volatility model

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Persistent link: https://www.econbiz.de/10003880634

Ambiguous volatility, possibility and utility in continuous time

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Optimal buffer stocks and precautionary savings with disappointment aversion

Aizenman, Joshua - 1995

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Ambiguous Volatility and Asset Pricing in Continuous Time

Epstein, Larry G. - 2013

This paper formulates a model of utility for a continuous time frame-work that captures the decision-maker's concern … with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are …, sharper predictions can be obtained by assuming preference maximization and equilibrium. Thus we apply the model of utility to …

Persistent link: https://www.econbiz.de/10013088933

Ambiguous volatility and asset pricing in continuous time

Epstein, Larry G.; Ji, Shaolin - In: The review of financial studies 26 (2013) 7, pp. 1740-1786

Persistent link: https://www.econbiz.de/10009778359

Robust control and CAPMs under a quadratic model with inflation-deflation risk

Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024

Persistent link: https://www.econbiz.de/10014549675

On the implications of a unilateral currency union for macroeconomic volatility

Duncan, Roberto - In: Prospects for monetary unions after the Euro, (pp. 225-262). 2005

Persistent link: https://www.econbiz.de/10003267144

Volatility timing : how best to forecast portfolio exposures

Clements, A.; Silvennoinen, A. - In: Journal of empirical finance 24 (2013), pp. 108-115

Persistent link: https://www.econbiz.de/10010371987

Equilibrium analysis of portfolio insurance

Grossman, Sanford J. - In: The journal of finance : the journal of the American … 51 (1996) 4, pp. 1379-1403

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Spectral welfare cost functions

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