As shown in a companion paper (Balter et al., Solving Maxmin Optimization Problems via Population Games, SSRN 4264811), solutions of a certain class of maxmin optimization problems can be found from symmetric Nash equilibria of related population games. In this paper we give sufficient...

We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Investors with relative risk aversion gamma 1 fear return persistence, while risk-tolerant investors (0 gamma 1) fear return mean reversion, to confront model misspecification concerns when facing a model...

We study conditions under which the threshold parameter in the Omega ratio represents risk aversion in the sense of monotonicity of risk premia. To this end, we derive asymptotic expansions for risk premia associated with taking a small additional risk on top of a background risk. These risk...

It is well-known that marital status is an important predictor for life expectancy. However, non-married individuals are often misclassified as singles which ignores the heterogeneity within the group. This paper shows the importance of distinguishing between types of singles, and in particular...

In this paper we derive a market value for Guaranteed Annuity Optionusing martingale modeling techniques. Furthermore, we show how to construct a static replicating portfolio of vanillainterest rate swaptions that replicates the Guaranteed Annuity Option. Finally, we illustrate with historical...

Double barrier options have become popular instruments in derivative markets. Several papers_new have already analyseddouble knock-out call and put options using different methods. In a recent paper, Geman and Yor (1996) deriveexpressions for the Laplace transform of the double barrrier option...