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Continuous-time smooth ambiguity preferences

Suzuki, Masataka - In: Journal of economic dynamics & control 90 (2018), pp. 30-44

Persistent link: https://www.econbiz.de/10011974017

Does ambiguity matter? : estimating asset pricing models with a multiple-priors recursive utility

Jeong, Daehee; Kim, Hwagyun; Park, Joon Y. - In: Journal of financial economics 115 (2015) 2, pp. 361-382

Persistent link: https://www.econbiz.de/10011347485

Open-loop equilibrium reinsurance-investment strategy under mean-variance criterion with stochastic volatility

Yan, Tingjin; Wong, Hoi Ying - In: Insurance / Mathematics & economics 90 (2020), pp. 105-119

Persistent link: https://www.econbiz.de/10012169507

A dynamic mean-variance analysis for log returns

Dai, Min; Jin, Hanqing; Kou, Steven; Xu, Yuhong - In: Management science : journal of the Institute for … 67 (2021) 2, pp. 1093-1108

Persistent link: https://www.econbiz.de/10012505370

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

Spanning analysis of stock market anomalies under prospect stochastic dominance

Arvanitis, Stelios; Scaillet, Olivier; Topaloglou, Nikolas - In: Management science : journal of the Institute for … 70 (2024) 9, pp. 6002-6025

Persistent link: https://www.econbiz.de/10015137989

Dynamic portfolio selection with mispricing and model ambiguity

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

Persistent link: https://www.econbiz.de/10011376170

Investors' behavior in alternative asset classes

Papavasiliou, Ellie; Topaloglou, Nikolas; Tsomidis, Georgios - In: Spoudai : journal of economics and business 72 (2022) 3/4, pp. 3-55

investor personae in the Behavioral Finance literature, namely, the Cumulative Prospect Theory, the Markowitz and the Loss …

Persistent link: https://www.econbiz.de/10014246136

Asset prices and alternative characterizations of the pricing kernel

Lüders, Erik (contributor) - 2002

Persistent link: https://www.econbiz.de/10001701661

Market Prices of Orthogonal Risk and Risk Aversion in Complete Stochastic Volatility Models : Theoretical and Empirical

Han, Qian - 2010

Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion under a continuous time stochastic volatility model completed by liquidly traded options....

Persistent link: https://www.econbiz.de/10013136898