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Optimal option portfolio hedging strategy with non-Gaussian fluctuations

Hamdi, Haykel; Majdoub, Jihed - In: International journal of entrepreneurship and small … 39 (2020) 1/2, pp. 27-42

Persistent link: https://www.econbiz.de/10012176729

Spot exchange rate volatility, uncertain policies and export investment decision of firms : a mean-variance decision approach

Mukherjee, Subhadip; Mukherjee, Soumyatanu; Mishra, Tapas; … - In: The European journal of finance 27 (2021) 8, pp. 752-773

Persistent link: https://www.econbiz.de/10012516131

Optimal consumption and portfolio choice with ambiguous interest rates and volatility

Lin, Qian; Riedel, Frank - In: Economic theory 71 (2021) 3, pp. 1189-1202

Persistent link: https://www.econbiz.de/10012584420

Do recent stochastic tools help to better understand investors' preference and asset allocation?

Ciupac-Ulici, Maria-Lenuţa; Gherman, Mircea-Cristian; … - In: The journal of applied business research 30 (2014) 5, pp. 1449-1456

Persistent link: https://www.econbiz.de/10010470517

Risk aversion under preference uncertainty

Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

Persistent link: https://www.econbiz.de/10011382430