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Robust Portfolio Allocation Under Dependence Uncertainty and Ambiguity-Aversion

André, Eric; Tavin, Bertrand - 2023

aversion and the robust allocations. Finally, in a simulation study, we evidence the robustness of the obtained portfolios …

Persistent link: https://www.econbiz.de/10014349800

Uncertain mean-variance portfolio model with inflation taking linear uncertainty distributions

Huang, Xiaoxia; Ma, Di; Choe, Kwang-Il - In: International review of economics & finance : IREF 87 (2023), pp. 203-217

Persistent link: https://www.econbiz.de/10014472066

Long-term dynamic asset allocation under asymmetric risk preferences

Kontosakos, Vasileios E.; Hwang, Soosung; … - In: European journal of operational research : EJOR 312 (2024) 2, pp. 765-782

Persistent link: https://www.econbiz.de/10014456327

The impact of ambiguity on dynamic portfolio selection in the epsilon-contaminated binomial market model

Petturiti, Davide; Vantaggi, Barbara - In: European journal of operational research : EJOR 314 (2024) 3, pp. 1029-1039

Persistent link: https://www.econbiz.de/10014456933

How fiduciary duty law incentivises investors to manage sustainability risks

Strakodonskaya, Liudmila - In: European journal of social security 23 (2021) 3, pp. 264-278

Persistent link: https://www.econbiz.de/10014476971

Optimal investment decision for Industry 4.0 under uncertainties of capability and competence building for managing supply chain risks

Padhi, Sidhartha S.; Mukherjee, Soumyatanu; Cheng, T. C. E. - In: International journal of production economics 267 (2024), pp. 1-19

Persistent link: https://www.econbiz.de/10014460457

Distortion risk measure under parametric ambiguity

Shao, Hui; Zhang, Zhe George - In: European journal of operational research : EJOR 311 (2023) 3, pp. 1159-1172

Persistent link: https://www.econbiz.de/10014440209

Cross risk apportionment and non-financial correlated background uncertainty

Asano, Takao; Osaki, Yusuke - 2023

Persistent link: https://www.econbiz.de/10014420566

Uncertainty and sentiments in asset prices

Berardi, Michele - In: Journal of economic behavior & organization : JEBO 202 (2022), pp. 498-516

Persistent link: https://www.econbiz.de/10013552447

Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets

Lv, Wujun; Pang, Tao; Xia, Xiaobao; Yan, Jingzhou - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28

In response to the unprecedented uncertain rare events of the last decade, we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity occurring in the traditional stock market and the...

Persistent link: https://www.econbiz.de/10014289085