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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

Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties

Maier, Sebastian; Pflug, Georg; Polak, John W. - In: European journal of operational research : EJOR 285 (2020) 1, pp. 133-147

Persistent link: https://www.econbiz.de/10012239492

Dynamic asset allocation with uncertain jump risks : a pathwise optimization approach

Jin, Xing; Luo, Dan; Zeng, Xudong - In: Mathematics of operations research 43 (2018) 2, pp. 347-376

Persistent link: https://www.econbiz.de/10011868609

Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou - In: Journal of economic dynamics & control 88 (2018), pp. 70-103

Persistent link: https://www.econbiz.de/10011973926

Correlation risk and optimal portfolio choice

Buraschi, Andrea (contributor); Porchia, Paolo (contributor) - 2007

Persistent link: https://www.econbiz.de/10003674267

A class of portfolio optimization solvable problems

Cheng, Yuyang; Escobar, Marcos - In: Finance research letters 52 (2023), pp. 1-10

Persistent link: https://www.econbiz.de/10014472208

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