to jump and diffusion risk are by no means the same. In an incomplete market, it is mainly ambiguity about one of the two … risk factors which drives the optimal stock weight, and the utility loss is largest if this ambiguity is ignored …

market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative … component in good-deal hedging, which is shown to be equivalent to a global risk-minimization in the sense of Föllmer and …

this paper bring together extreme value theory and dependence uncertainty, two popular topics in the recent study of risk …In this paper, we investigate the asymptotic behavior of the portfolio diversification ratio based on Value-at-Risk …

We study upper and lower bounds on the expectile risk measure of risky portfolios when the joint distribution of the … improved bounds when the bivariate distributions of each of the risky components and a risk factor are known. When the factor …, the unconstrained dependence uncertainty spreads of Expected Shortfall, Value-at-Risk and the expectile are compared …

. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty … subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation …