Search Results - subject:"Model ambiguity"

Fundamental factors and extrapolation in stock-market expectations : the central role of structural change

Frydman, Roman; Stillwagon, Joshua R. - In: Journal of economic behavior & organization : JEBO 148 (2018), pp. 189-198

Persistent link: https://www.econbiz.de/10011985970

Robust reinsurance contracts in continuous time

Hu, Duni; Chen, Shou; Wang, Hailong - In: Scandinavian actuarial journal (2018) 1, pp. 1-22

Persistent link: https://www.econbiz.de/10011880792

Ambiguous partially observable Markov decision processes : structural results and applications

Saghafian, Soroush - In: Journal of economic theory 178 (2018), pp. 1-35

Persistent link: https://www.econbiz.de/10012026349

Risk assessment for uncertain cash flows: model ambiguity, discounting ambiguity, and the role of bubbles

Acciaio, Beatrice; Föllmer, Hans; Penner, Irina - London School of Economics (LSE) - 2012

We study the risk assessment of uncertain cash flows in terms of dynamic convex risk measures for processes as introduced in Cheridito et al. (Electron. J. Probab. 11(3):57–106, 2006). These risk measures take into account not only the amounts but also the timing of a cash flow. We discuss...

Persistent link: https://www.econbiz.de/10011071088

Robust control of partially observable failing systems

Kim, Michael Jong - In: Operations research 64 (2016) 4, pp. 999-1014

Persistent link: https://www.econbiz.de/10011538583

S-values and Bayesian weighted all-subsets regressions

Leamer, Edward E. - In: European economic review : EER 81 (2016), pp. 15-31

Persistent link: https://www.econbiz.de/10011742039

S-values : conventional context-minimal measures of the sturdiness of regression coefficients

Leamer, Edward E. - In: Journal of econometrics 193 (2016) 1, pp. 147-161

Persistent link: https://www.econbiz.de/10011704782

Dynamic portfolio selection with mispricing and model ambiguity

Yi, Bo; Viens, Frederi; Law, Baron; Li, Zhongfei - In: Annals of Finance 11 (2015) 1, pp. 37-75

We investigate optimal portfolio selection problems with mispricing and model ambiguity under a financial market which … under a utility function framework. Furthermore, she is ambiguity-averse and has a specific preference for model ambiguity … the mispricing and model ambiguity have completely distinct impacts on the robust optimal portfolio selection, by …

Persistent link: https://www.econbiz.de/10011155083

Risk measures for processes and BSDEs

Réveillac, Anthony; Penner, Irina - Université Paris-Dauphine (Paris IX) - 2015

bounded \cd processes, we show that this framework provides a systematic approach to the both issues of model ambiguity, and …

Persistent link: https://www.econbiz.de/10011115221

Risk measures for processes and BSDEs

Penner, Irina; Réveillac, Anthony - In: Finance and Stochastics 19 (2015) 1, pp. 23-66

systematic approach to the issues of model ambiguity and uncertainty about the time value of money. We also establish a link …

Persistent link: https://www.econbiz.de/10011151668