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Conditional stochastic dominance tests in dynamic settings
Gonzalo, Jesús; Olmo, Jose - In: International economic review 55 (2014) 3, pp. 819-838
Persistent link: https://www.econbiz.de/10010423939
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Learning under ambiguity : a note on the belief dynamics of Epstein and Schneider (2007)
Heyen, Daniel - 2014
Epstein and Schneider (2007) develop a framework of learning under ambiguity, generalizing maxmin preferences of Gilboa and Schmeidler (1989) to intertemporal settings. The specific belief dynamics in Epstein and Schneider (2007) rely on the rejection of initial priors that have become...
Persistent link: https://www.econbiz.de/10010424809
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Linear tests for decreasing absolute risk aversion stochastic dominance
Post, Thierry; Fang, Yi; Kopa, Miloš - In: Management science : journal of the Institute for … 61 (2015) 7, pp. 1615-1629
Persistent link: https://www.econbiz.de/10011304114
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Optimal liquidation in a limit order book for a risk-averse investor
Løkka, Arne - In: Mathematical finance : an international journal of … 24 (2014) 4, pp. 696-727
Persistent link: https://www.econbiz.de/10011308171
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Alpha as ambiguity : robust mean-variance portfolio analysis
Maccheroni, Fabio; Marinacci, Massimo; Ruffino, Doriana - 2010
Persistent link: https://www.econbiz.de/10011334799
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On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
Bodnar, Taras; Parolya, Nestor; Schmid, Wolfgang - In: European journal of operational research : EJOR 246 (2015) 2, pp. 528-542
Persistent link: https://www.econbiz.de/10011338116
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Dynamic asset allocation with ambiguous return predictability
Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823
Persistent link: https://www.econbiz.de/10011281431
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Ambiguity aversion, funding liquidity, and liquidation dynamics
Oh, Ji Yeol Jimmy - In: Journal of financial markets 18 (2014), pp. 49-76
Persistent link: https://www.econbiz.de/10010442499
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Minimax: Portfolio choice based on pessimistic decision making
Schaarschmidt, Steffen - In: Three essays on financial markets and portfolio management, (pp. 53-84). 2013
Persistent link: https://www.econbiz.de/10010442702
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Robust portfolio choice and indifference valuation
Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 39 (2014) 4, pp. 1109-1141
Persistent link: https://www.econbiz.de/10010462159