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Robust risk choice under high-water mark contract
Mu, Congming; Yan, Jingzhou; Yang, Jinqiang - In: Review of quantitative finance and accounting 61 (2023) 1, pp. 295-322
Persistent link: https://www.econbiz.de/10014342032
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Optimal risk taking under high-water mark contract with jump risk
Mu, Congming; Yan, Jingzhou; Liang, Zhian - In: Finance research letters 38 (2021), pp. 1-7
Persistent link: https://www.econbiz.de/10012486101
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Robust leverage choice of hedge funds with rare disasters
Yan, Jingzhou; Mu, Congming; Yan, Qianhui; Luo, Deqing - In: Finance research letters 54 (2023), pp. 1-11
Persistent link: https://www.econbiz.de/10014472621
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Trading off accuracy for speed : hedge funds' decision-making under uncertainty
Dragomirescu-Gaina, Catalin; Philippas, Dionisis; … - In: International review of financial analysis 75 (2021), pp. 1-12
Persistent link: https://www.econbiz.de/10012804043
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Risk and ambiguity in 10-Ks : an examination of cash holding and derivatives use
Friberg, Richard; Seiler, Thomas - In: The journal of corporate finance : contracting, … 45 (2017), pp. 608-631
Persistent link: https://www.econbiz.de/10011760969
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Cost-efficient contingent claims with market frictions
Ghossoub, Mario - In: Mathematics and financial economics 10 (2016) 1, pp. 87-111
Persistent link: https://www.econbiz.de/10011446032
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A reinforcement learning approach to solving incomplete market models with aggregate uncertainty
Jirnyi, Andrei; Lepetyuk, Vadym - 2011
Persistent link: https://www.econbiz.de/10009724934
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Investment, capital market imperfections, and uncertainty : theory and empirical results
Lensink, Robert; Bo, Hong; Sterken, Elmer - 2001
Persistent link: https://www.econbiz.de/10001517227
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Regret Theory and Asset Pricing Anomalies in Incomplete Markets with Dynamic Un-Aggregated Preferences
Nwogugu, Michael C. I. - 2014
Arbitrage Pricing Theory (IAPT) are major elements of modern finance, and are widely used in portfolio management, valuation and … capital markets financing. However, these theories are inaccurate and can adversely affect risk management and portfolio …
Persistent link: https://www.econbiz.de/10013069702
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Incomplete Markets, Knightian Uncertainty, and Irreversible Investment
Thijssen, Jacco - 2008
The problem of irreversible investment with idiosyncratic risk is studied by interpreting market incompleteness as a … geometric Brownian motions. It is argued that an increase in the level of ambiguity delays investment, whereas an increase in …
Persistent link: https://www.econbiz.de/10014214176