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Optimal investment and consumption strategies with state-dependent utility functions and uncertain time-horizon
Zeng, Yan; Wu, Huiling; Lai, Yongzeng - In: Economic modelling 33 (2013), pp. 462-470
Persistent link: https://www.econbiz.de/10010192881
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Portfolio selection model for enhancing information technology synergy
Cho, Wooje; Shaw, Michael J. - In: IEEE transactions on engineering management : EM 60 (2013) 4, pp. 739-749
Persistent link: https://www.econbiz.de/10010208944
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Causal uncertainty in capital markets : a robust noisy-or framework for portfolio management
Simonian, Joseph - In: The journal of financial data science 3 (2021) 1, pp. 43-55
Persistent link: https://www.econbiz.de/10012486252
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Risk apportionment : the dual story
Eeckhoudt, Louis R.; Laeven, Roger J. A.; Schlesinger, … - In: Journal of economic theory 185 (2020), pp. 1-27
Persistent link: https://www.econbiz.de/10012415735
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Portfolio liquidation under factor uncertainty
Horst, Ulrich; Xia, Xiaonyu; Zhou, Chao - 2021
liquidation costs. In particular, in our model ambiguity aversion is observationally equivalent to increased risk aversion. This …
Persistent link: https://www.econbiz.de/10012500352
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Horizon-unbiased investment with ambiguity
Lin, Qian; Sun, Xianming; Zhou, Chao - In: Journal of economic dynamics & control 114 (2020), pp. 1-17
Persistent link: https://www.econbiz.de/10012502569
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Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
Ling, Aifan; Sun, Jie; Wang, Meihua - In: European journal of operational research : EJOR 285 (2020) 1, pp. 81-95
Persistent link: https://www.econbiz.de/10012239481
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Optimal portfolio positioning on multiple assets under ambiguity
Ben Ameur, Hachmi; Abbes, Mouna Boujelbène; Prigent, … - In: Computational economics 56 (2020) 1, pp. 21-57
Persistent link: https://www.econbiz.de/10012272015
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Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
Longo, M.; Mainini, A. - In: Quantitative finance 18 (2018) 12, pp. 2035-2050
Persistent link: https://www.econbiz.de/10012262961
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Ambiguity and the home currency bias
Ulrych, Urban; Vasiljević, Nikola - 2020 - This Version: August 2020
This paper addresses the question of optimal currency exposure for a risk-and-ambiguity-avers international investor. A …
Persistent link: https://www.econbiz.de/10012271218