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Optimal buffer stocks and precautionary savings with disappointment aversion
Aizenman, Joshua - 1995
Persistent link: https://www.econbiz.de/10000935902
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On the economic benefit of utility based estimation of a volatility model
Clements, Adam; Silvennoinen, Annastiina - 2009
Persistent link: https://www.econbiz.de/10003880634
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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
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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
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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
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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
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Equilibrium analysis of portfolio insurance
Grossman, Sanford J. - In: The journal of finance : the journal of the American … 51 (1996) 4, pp. 1379-1403
Persistent link: https://www.econbiz.de/10001209029
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Spectral welfare cost functions
Otrok, Christopher M. - In: International economic review 42 (2001) 2, pp. 345-367
Persistent link: https://www.econbiz.de/10001577903
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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
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Inflation and risky investments
Laurila, Hannu; Ilomäki, Jukka - In: Journal of risk and financial management : JRFM 13 (2020) 12/329, pp. 1-10
The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk-free fiat money. The analysis concentrates on the effects...
Persistent link: https://www.econbiz.de/10012403996