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  • Search: subject:"Robust Portfolio Choice"
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Year of publication
Subject
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Portfolio selection 2 Portfolio-Management 2 Theorie 2 Theory 2 Ambiguity 1 Anlageverhalten 1 Behavioural finance 1 Cryptocurrency 1 Decision under uncertainty 1 Detection error probability 1 Entscheidung unter Unsicherheit 1 Hedging 1 Hedging Demand 1 Inflation 1 Inflation Risk Management 1 Interest Rate Risk Management 1 Interest rate risk 1 Life-Cycle Investment 1 Parameter Uncertainty 1 Rare events 1 Risiko 1 Risikomanagement 1 Risk 1 Risk management 1 Robust Portfolio Choice 1 Robust portfolio choice 1 Virtual currency 1 Virtuelle Währung 1 Welfare loss 1 Zinsrisiko 1
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Online availability
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Free 2 CC license 1
Type of publication
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Article 1 Book / Working Paper 1
Type of publication (narrower categories)
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Arbeitspapier 1 Article in journal 1 Aufsatz in Zeitschrift 1 Graue Literatur 1 Non-commercial literature 1 Working Paper 1
Language
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English 2
Author
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Balter, Anne 1 Coumans, Lieske 1 Jong, Frank de 1 Lv, Wujun 1 Pang, Tao 1 Xia, Xiaobao 1 Yan, Jingzhou 1
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Published in...
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Financial innovation : FIN 1 Netspar academic series 1
Source
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ECONIS (ZBW) 2
Showing 1 - 2 of 2
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Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets
Lv, Wujun; Pang, Tao; Xia, Xiaobao; Yan, Jingzhou - In: Financial innovation : FIN 9 (2023) 1, pp. 1-28
In response to the unprecedented uncertain rare events of the last decade, we derive an optimal portfolio choice problem in a semi-closed form by integrating price diffusion ambiguity, volatility diffusion ambiguity, and jump ambiguity occurring in the traditional stock market and the...
Persistent link: https://www.econbiz.de/10014289085
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Cover Image
Robust hedging of terminal wealth under interest rate risk and inflation risk
Balter, Anne; Coumans, Lieske; Jong, Frank de - 2021 - This version: November 9, 2021
Persistent link: https://www.econbiz.de/10012664512
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