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Robust portfolio choice and in...
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1
Robust portfolio choice under the 4/2 stochastic volatility model
Cheng, Yuyang
;
Escobar, Marcos
- In:
IMA journal of management mathematics
34
(
2023
)
1
,
pp. 221-256
Persistent link: https://www.econbiz.de/10013541857
Saved in:
2
Optimal stopping under uncertainty in drift and jump intensity
Krätschmer, Volker
;
Ladkau, Marcel
;
Laeven, Roger J. A.
; …
- In:
Mathematics of operations research
43
(
2018
)
4
,
pp. 1177-1209
Persistent link: https://www.econbiz.de/10011956978
Saved in:
3
Robust hedging in incomplete markets
Shen, Sally
;
Pelsser, Antoon André Jean
;
Schotman, Peter C.
- In:
Journal of pension economics and finance
18
(
2019
)
3
,
pp. 473-493
Persistent link: https://www.econbiz.de/10012107932
Saved in:
4
Robust optimal risk sharing and risk premia in expanding pools
Knispel, Thomas
;
Laeven, Roger J. A.
;
Svindland, Gregor
- In:
Insurance / Mathematics & economics
70
(
2016
),
pp. 182-195
Persistent link: https://www.econbiz.de/10011597263
Saved in:
5
Robust portfolio choice with stochastic interest rates
Flor, Christian Riis
;
Larsen, Linda Sandris
- In:
Annals of finance
10
(
2014
)
2
,
pp. 243-265
Persistent link: https://www.econbiz.de/10010350862
Saved in:
6
Ambiguity in risk preferences in robust stochastic optimization
Haskell, William B.
;
Fu, Lunce
;
Dessouky, Maged
- In:
European journal of operational research : EJOR
254
(
2016
)
1
,
pp. 214-225
Persistent link: https://www.econbiz.de/10011503281
Saved in:
7
Optimal investment and consumption problems under correlation ambiguity
Han, Bingyan
;
Ying, Hoi
- In:
IMA journal of management mathematics
31
(
2020
)
1
,
pp. 69-89
Persistent link: https://www.econbiz.de/10012149769
Saved in:
8
An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
Kang, Zhilin
;
Li, Zhongfei
- In:
Mathematical methods of operations research
87
(
2018
)
2
,
pp. 169-195
Persistent link: https://www.econbiz.de/10011873984
Saved in:
9
The robust Merton problem of an ambiguity averse investor
Biagini, Sara
;
Pınar, Mustafa Ç.
- In:
Mathematics and financial economics
11
(
2017
)
1
,
pp. 1-24
Persistent link: https://www.econbiz.de/10011900505
Saved in:
10
Robustness of optimal portfolios under risk and stochastic dominance constraints
Dupačová, Jitka
;
Kopam, Milos̆
- In:
European journal of operational research : EJOR
234
(
2014
)
2
,
pp. 434-441
Persistent link: https://www.econbiz.de/10010356735
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