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Improving portfolio selection using option-implied volatility and skewness
DeMiguel, Victor; Plyakha, Yuliya; Uppal, Raman; … - 2010
Persistent link: https://www.econbiz.de/10003948899
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Predicting extreme returns and portfolio management implications
Fodor, Andy; Krieger, Kevin; Mauck, Nathan; Stevenson, Greg - In: The journal of financial research 36 (2013) 4, pp. 471-492
Persistent link: https://www.econbiz.de/10010250775
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Uncertainty, time-varying fear, and asset prices
Drechsler, Itamar - In: The journal of finance : the journal of the American … 68 (2013) 5, pp. 1843-1889
Persistent link: https://www.econbiz.de/10010204841
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Ambiguity, long-run risks, and asset prices
Wei, Bin - 2021
I generalize the long-run risks (LRR) model of Bansal and Yaron (2004) by incorporating recursive smooth ambiguity aversion preferences from Klibanoff et al. (2005, 2009) and time-varying ambiguity. Relative to the Bansal-Yaron model, the generalized LRR model is as tractable but more flexible...
Persistent link: https://www.econbiz.de/10012617667
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Does smooth ambiguity matter for asset pricing?
Gallant, A. Ronald; Jahan-Parvar, Mohammad R.; Liu, Hening - 2018
-varying volatility are preferred to the long-run risk model. We analyze asset pricing implications of the estimated models …
Persistent link: https://www.econbiz.de/10011780610
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Hedging with small uncertainty aversion
Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - 2016
We study the pricing and hedging of derivative securities with uncertainty about the volatility of the underlying asset … "distance" to a reference local volatility model. In the limit for small uncertainty aversion, this leads to explicit formulas …
Persistent link: https://www.econbiz.de/10011410718
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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
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Hedging with small uncertainty aversion
Herrmann, Sebastian; Muhle-Karbe, Johannes; Seifried, … - In: Finance and stochastics 21 (2017) 1, pp. 1-64
Persistent link: https://www.econbiz.de/10011944064
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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
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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