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Generalized entropy and model uncertainty

Meyer-Gohde, Alexander - In: Journal of economic theory 183 (2019), pp. 312-343

Persistent link: https://www.econbiz.de/10012131342

Risk, ambiguity, and the value of diversification

Berger, Loïc; Eeckhoudt, Louis R. - In: Management science : journal of the Institute for … 67 (2021) 3, pp. 1639-1647

Persistent link: https://www.econbiz.de/10012506017

Dynamic portfolio decisions with climate risk and model uncertainty

Rubtsov, Alexey; Shen, Sally - In: Journal of sustainable finance & investment 14 (2024) 2, pp. 344-365

Persistent link: https://www.econbiz.de/10014563824

Sharing model uncertainty

Hara, Chiaki; Mukerji, Sujoy; Riedel, Frank; Tallon, … - 2024

Persistent link: https://www.econbiz.de/10014537225

Asset pricing model uncertainty and portfolio choice

Carrasco, Ignacio; Hansen, Erwin - In: Finance research letters 45 (2022), pp. 1-7

Persistent link: https://www.econbiz.de/10014576820

Optimal growth under model uncertainty

Xu, Yuhong - In: The North American journal of economics and finance : a … 60 (2022), pp. 1-14

Persistent link: https://www.econbiz.de/10013449083

Robust investment strategies with two risky assets

Lin, Qian; Luo, Yulei; Sun, Xianming - In: Journal of economic dynamics & control 134 (2022), pp. 1-19

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Robust portfolio optimization with environmental, social, and corporate governance preference

Escobar, Marcos; Jiao, Yiyao - In: Risks : open access journal 12 (2024) 2, pp. 1-29

area of environmental, social, and corporate governance (ESG) within portfolio decisions. It considers a risk- and … ambiguity-averse investor allocating resources to a risk-free asset, a market index, a green stock, and a brown stock. The study … study contrasts ambiguity-averse investors with their non-ambiguity counterparts, revealing more cautious risk exposures …

Persistent link: https://www.econbiz.de/10014497337

Risk filtering and risk-averse control of Markovian systems subject to model uncertainty

Bielecki, Tomasz R.; Cialenco, Igor; Ruszczyński, … - In: Mathematical methods of operations research : ZOR 98 (2023) 2, pp. 231-268

Persistent link: https://www.econbiz.de/10014423851

Biased learning under ambiguous information

Chen, Jaden Yang - In: Journal of economic theory 203 (2022), pp. 1-30

Persistent link: https://www.econbiz.de/10013374966