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Optimal Consumption and Portfolio Choice under Ambiguity for a Mean-reverting Risk Premium in Complete Markets
Liu, Hening - In: Annals of Economics and Finance 14 (2013) 1, pp. 21-52
This paper explicitly solves, in closed form, the optimal consumption and portfolio choice for an ambiguity averse … martingale method to solve the dynamic optimization problem in continuous time. I find that ambiguity can decrease the optimal … of hedging demand in the optimal portfolio allocation. In addition, ambiguity also increases riskless savings. …
Persistent link: https://www.econbiz.de/10010819323
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Aspecte privind managementul portofoliilor – metode si modele utilizate
MARINESCU, Radu Titus; ANGHEL, Madalina Gabriela - In: Romanian Statistical Review Supplement 61 (2013) 1, pp. 259-265
The Management of financial instruments portfolios is a complex activity that is based on a series of scientific models through which it is possible to assess the financial performance of securities markets, but also the risks the investors expose themselves. Although it is recommended that...
Persistent link: https://www.econbiz.de/10010633825
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Optimal allocations with α-MaxMin utilities, Choquet expected utilities, and Prospect Theory
Beißner, Patrick; Werner, Jan - In: Theoretical Economics 18 (2023) 3, pp. 993-1022
utility functions, where concavity is an expression of ambiguity aversion and/or risk aversion. This paper extends the … analysis to α-maxmin expected utility, Choquet expected utility, and Cumulative Prospect Theory, which accommodate ambiguity …
Persistent link: https://www.econbiz.de/10014537001
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Optimal portfolio positioning under ambiguity
Ameur, H. Ben; Prigent, J.L. - In: Economic Modelling 34 (2013) C, pp. 89-97
This paper analyzes the optimality of financial portfolios when the investor has a utility with ambiguity aversion. It … provides a general result about the optimal portfolio profile under ambiguity, in the Anscombe–Aumann framework, using the …'s (2011) multiplier preferences. The paper then details the CRRA case with an ambiguity index based on relative entropy. Such …
Persistent link: https://www.econbiz.de/10010709342
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Expected value multiobjective portfolio rebalancing model with fuzzy parameters
Gupta, Pankaj; Mittal, Garima; Mehlawat, Mukesh Kumar - In: Insurance: Mathematics and Economics 52 (2013) 2, pp. 190-203
In this paper we develop a multicriteria credibilistic framework for portfolio rebalancing. We use an expected value model with fuzzy parameters considering return, risk and liquidity as key financial criteria. The transaction costs are assumed to be paid on the basis of incremental discounts...
Persistent link: https://www.econbiz.de/10010662445
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Fuzzy portfolio optimization model under real constraints
Liu, Yong-Jun; Zhang, Wei-Guo - In: Insurance: Mathematics and Economics 53 (2013) 3, pp. 704-711
This paper discusses a multi-objective portfolio optimization problem for practical portfolio selection in fuzzy environment, in which the return rates and the turnover rates are characterized by fuzzy variables. Based on the possibility theory, fuzzy return and liquidity are quantified by...
Persistent link: https://www.econbiz.de/10010719101
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DEA-Risk Efficiency and Stochastic Dominance Efficiency of Stock Indices
Branda, Martin; Kopa, Miloš - In: Czech Journal of Economics and Finance (Finance a uver) 62 (2012) 2, pp. 106-124
In this article, the authors deal with the efficiency of world stock indices. Basically, they compare three approaches: mean-risk, data envelopment analysis (DEA), and stochastic dominance (SD) efficiency. In the DEA methodology, efficiency is defined as a weighted sum of outputs compared to a...
Persistent link: https://www.econbiz.de/10010547811
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Portfolio credit-risk optimization
Iscoe, Ian; Kreinin, Alexander; Mausser, Helmut; … - In: Journal of Banking & Finance 36 (2012) 6, pp. 1604-1615
This paper evaluates several alternative formulations for minimizing the credit risk of a portfolio of financial contracts with different counterparties. Credit risk optimization is challenging because the portfolio loss distribution is typically unavailable in closed form. This makes it...
Persistent link: https://www.econbiz.de/10010574830
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Optimizing international portfolios with options and forwards
Topaloglou, Nikolas; Vladimirou, Hercules; Zenios, … - In: Journal of Banking & Finance 35 (2011) 12, pp. 3188-3201
We develop a stochastic programming model to address in a unified manner a number of interrelated decisions in international portfolio management: optimal portfolio diversification and mitigation of market and currency risks. The goal is to control the portfolio’s total risk exposure and...
Persistent link: https://www.econbiz.de/10010577948
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Irreversible Investment of the Risk- and Uncertainty-averse DM under k-Ignorance: The Role of BSDE
Wang, Zengwu - In: Annals of Economics and Finance 11 (2010) 2, pp. 313-335
In this paper, the approach of BSDE will be employed to study the irreversible investment problem under k-ignorance when the DM is risk- and uncertainty-averse. For the case of logarithmic utility, we work out the explicit solutions of the value of the utilized patent, the value of the...
Persistent link: https://www.econbiz.de/10009195450