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Fighting Uncertainty with Uncertainty : A Baby Step

Kashyap, Ravi - 2017

We can overcome uncertainty with uncertainty. Using randomness in our choices and in what we control, and hence in the decision making process, could potentially offset the uncertainty inherent in the environment and yield better outcomes. The example we develop in greater detail is the...

Persistent link: https://www.econbiz.de/10012970297

Hedging Under Generalized Good-Deal Bounds and Model Uncertainty

Becherer, Dirk - 2017

market prices of risk of hedging assets, a robust approach leads to a reduction or even elimination of a speculative … component in good-deal hedging, which is shown to be equivalent to a global risk-minimization in the sense of Föllmer and …

Persistent link: https://www.econbiz.de/10012972303

Explicit Investment Rules with Time-to-Build and Uncertainty

Aïd, René - 2017

precautionary bias multiplies a type of risk aversion index by the local volatility. Relying on the analytical forms, we discuss in …

Persistent link: https://www.econbiz.de/10012973074

Multi-Stage Adjustable Robust Mixed-Integer Optimization via Iterative Splitting of the Uncertainty Set

Postek, Krzysztof - 2016

In this paper we propose a methodology for constructing decision rules for integer and continuous decision variables in multiperiod robust linear optimization problems. This type of problems finds application in, for example, inventory management, lot sizing, and manpower management. We show...

Persistent link: https://www.econbiz.de/10013005868

Optimal Management of Groundwater Under Uncertainty : A Unified Approach

Chandra, Kiran - 2014

Discrete-time stochastic models of groundwater management have been extensively used for understanding a variety of issues in groundwater management for agriculture. Most models used suffer from two drawbacks: relatively simplistic treatment of extraction cost (remarked in many papers in the...

Persistent link: https://www.econbiz.de/10013051680

Model Uncertainty, Ambiguity Premium and Optimal Asset Allocation

Xu, Yuhong - 2016

subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation … ambiguity premium and risk premium demonstrate that a decrease in ambiguity premium on volatility gives rise to an increase in …

Persistent link: https://www.econbiz.de/10012987227

Dynamic Asset Liability Management Under Model Uncertainty

Horvath, Ferenc - 2018

more conservative investment policy regardless of the risk attitude of the fund manager, i.e., a robust investment strategy … corresponds to risk exposures which provide a much stronger liability hedge …

Persistent link: https://www.econbiz.de/10012930417

Optimal climate policy with fat-tailed uncertainty : what the models can tell us

De Bruin, Kelly C.; Krishnamurthy, Chandra Kiran - 2021

difficulties identified with IAMs, the choice of the risk aversion parameter and the underestimation of damages, are also directly …

Persistent link: https://www.econbiz.de/10012510301

The day after tomorrow: mitigation and adaptation policies to deal with uncertainty

Bazzana, Davide; Menoncin, Francesco; Vergalli, Sergio - 2021

The catastrophic events are characterized by "low frequency and high severity". Nevertheless, during the last decades, both the frequency and the magnitude of these events have been significantly rising worldwide. In 2021, the European Commission adopted a new Strategy on Adaptation to Climate...

Persistent link: https://www.econbiz.de/10012609390

Stock portfolio selection under unstable uncertainty via fuzzy mean-semivariance model

Borovička, Adam - In: Central European journal of operations research 30 (2022) 2, pp. 595-616

Persistent link: https://www.econbiz.de/10013185344