Search Results - subject:"Robust portfolio choice"

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

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

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

The family firm ownership puzzle

Anderson, Ronald C.; Li, Nan; Reeb, David M.; Karim, Masud - In: Review of corporate finance 2 (2022) 4, pp. 679-720

Persistent link: https://www.econbiz.de/10013538902

Price of climate risk hedging under uncertainty

Rubtsov, Alexey; Xu, Wei; Šević, Aleksandar; Šević, … - In: Technological forecasting & social change : an … 165 (2021), pp. 1-10

Persistent link: https://www.econbiz.de/10012671618

Portfolio choices : comparative statics under both expected return and volatility uncertainty

Lin, Qian; Tian, Dejian - In: Quantitative finance 21 (2021) 6, pp. 1027-1035

Persistent link: https://www.econbiz.de/10012515634

Dynamic derivative strategies with stochastic interest rates and model uncertainty

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of economic dynamics & control 86 (2018), pp. 49-71

Persistent link: https://www.econbiz.de/10011973854

Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility

Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou - In: Journal of economic dynamics & control 88 (2018), pp. 70-103

Persistent link: https://www.econbiz.de/10011973926

Model misspecification and pricing of illiquid claims

Rubtsov, Alexey - In: Finance research letters 18 (2016), pp. 242-249

Persistent link: https://www.econbiz.de/10011657056

Robust portfolio choice with derivative trading under stochastic volatility

Escobar, Marcos; Ferrando, Sebastian; Rubtsov, Alexey - In: Journal of banking & finance 61 (2015), pp. 142-157

Persistent link: https://www.econbiz.de/10011545164