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Portfolio choices : comparative statics under both expected return and volatility uncertainty

Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035

Persistent link: https://www.econbiz.de/10012515634

Ambiguity and Volatility : Asset Pricing Implications

Pataracchia, Beatrice - 2011

consumption growth process. The hidden states differ both for the mean and the volatility. We show that the ambiguity …-averse investor downweights high-mean states in favor of low-mean ones. However, such distortion appears much stronger in low-volatility … regimes: high volatility attenuates the distortion due to ambiguity concerns. It follows that (i) ambiguity aversion always …

Persistent link: https://www.econbiz.de/10013127171

Asymmetric ambiguity spillover among international equity markets

Qin, Xiao; Wang, Yuwen - In: Applied economics letters 30 (2023) 13, pp. 1843-1849

Persistent link: https://www.econbiz.de/10014305155

Quantile hedging

Föllmer, Hans; Leukert, Peter - In: Finance and stochastics 3 (1999) 3, pp. 251-273

Persistent link: https://www.econbiz.de/10001389101

Earning the right premium on the right factor in portfolio planning

Branger, Nicole; Hansis, Alexandra - In: Journal of banking & finance 59 (2015), pp. 367-383

Persistent link: https://www.econbiz.de/10011544589

Continuous and jump betas : implications for portfolio diversification

Alexeev, Vitali; Dungey, Mardi H.; Yao, Wenying - In: Econometrics : open access journal 4 (2016) 2, pp. 1-15

Using high-frequency data, we decompose the time-varying beta for stocks into beta for continuous systematic risk and beta for discontinuous systematic risk. Estimated discontinuous betas for S&P500 constituents between 2003 and 2011 generally exceed the corresponding continuous betas. We...

Persistent link: https://www.econbiz.de/10011506397

Riding with the four horsemen and the multivariate normal tempered stable model

Bianchi, Michele Leonardo; Tassinari, Gian Luca; … - In: International journal of theoretical and applied finance 19 (2016) 4, pp. 1-28

Persistent link: https://www.econbiz.de/10011523819

Profitability of time series momentum

He, Xue-zhong; Li, Kai - In: Journal of banking & finance 53 (2015), pp. 140-157

Persistent link: https://www.econbiz.de/10011377714

The evaluation of multiple year gas sales agreement with regime switching

Chiarella, Carl; Clewlow, Les; Kang, Boda - In: International journal of theoretical and applied finance 19 (2016) 1, pp. 1-25

Persistent link: https://www.econbiz.de/10011453874

Nested Conditional Value-at-Risk portfolio selection : a model with temporal dependence driven by market-index volatility

Staino, Alessandro; Russo, Emilio - In: European journal of operational research : EJOR 280 (2020) 2, pp. 741-753

Persistent link: https://www.econbiz.de/10012132469