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Generalized robustness and dynamic pessimism
Maenhout, Pascal J.; Vedolin, Andrea; Xing, Hao - 2020
Persistent link: https://www.econbiz.de/10012221925
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Generalized robustness and dynamic pessimism
Maenhout, Pascal J.; Vedolin, Andrea; Xing, Hao - 2020
Persistent link: https://www.econbiz.de/10012222167
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Model Ambiguity versus Model Misspecification in Dynamic Portfolio Choice and Asset Pricing
Balter, Anne; Maenhout, Pascal J.; Xing, Hao - 2022
We study aversion to model ambiguity and misspecification in dynamic portfolio choice. Investors with relative risk aversion gamma 1 fear return persistence, while risk-tolerant investors (0 gamma 1) fear return mean reversion, to confront model misspecification concerns when facing a model...
Persistent link: https://www.econbiz.de/10014238830
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Essays on portfolio choice and asset pricing
Maenhout, Pascal J. - 2000
Persistent link: https://www.econbiz.de/10001608956
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Robust portfolio rules and asset pricing
Maenhout, Pascal J. - In: The review of financial studies 17 (2004) 4, pp. 951-983
Persistent link: https://www.econbiz.de/10002396422
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Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
Maenhout, Pascal J. - In: Journal of economic theory 128 (2006) 1, pp. 136-163
Persistent link: https://www.econbiz.de/10003335332
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Stability of the exponential utility maximization problem with respect to preferences
Xing, Hao - In: Mathematical finance : an international journal of … 27 (2017) 1, pp. 38-67
Persistent link: https://www.econbiz.de/10011739439
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Investing retirement wealth : a life-cycle model
Campbell, John Y.; Cocco, João F.; Gomes, Francisco J.; … - 2000
Persistent link: https://www.econbiz.de/10001493961
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A two-period model of consumption and portfolio choice with incomplete markets
Cocco, João F.; Gomes, Francisco J.; Maenhout, Pascal J. - 1997
Persistent link: https://www.econbiz.de/10000674704
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Consumption and portfolio choice over the life-cycle
Cocco, João F. - 1998
Persistent link: https://www.econbiz.de/10000981426