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Dynamic asset allocation with ambiguous return predictability

Chen, Hui; Ju, Nengjiu; Miao, Jianjun - In: Review of economic dynamics 17 (2014) 4, pp. 799-823

Persistent link: https://www.econbiz.de/10011281431

Ambiguous investor sentiment

Wagner, Moritz; Wei, Xiaopeng - In: Finance research letters 67 (2024) 1, pp. 1-13

Persistent link: https://www.econbiz.de/10015061580

Reading the tea leaves : model uncertainty, robust forecasts, and the autocorrelation of analysts' forecast errors

Linnainmaa, Juhani; Torous, Walter N.; Yae, James - In: Journal of financial economics 122 (2016) 1, pp. 42-64

Persistent link: https://www.econbiz.de/10011590878

On the observational implications of knightian uncertainty

Hassett, Kevin A.; Zhong, Weifeng - In: The B.E. journal of theoretical economics 21 (2021) 1, pp. 115-147

Persistent link: https://www.econbiz.de/10012437683

Model uncertainty and scenario aggregation

Cambou, Mathieu; Filipović, Damir - In: Mathematical finance : an international journal of … 27 (2017) 2, pp. 534-567

Persistent link: https://www.econbiz.de/10011752528

Improving value-at-risk prediction under model uncertainty

Peng, Shige; Yang, Shuzhen; Yao, Jianfeng - In: Journal of financial econometrics 21 (2023) 1, pp. 228-259

Persistent link: https://www.econbiz.de/10013542865

Model uncertainty and scenario aggregation

Cambou, Mathieu; Filipović, Damir - 2014

the definition of five fundamental criteria that serve as a basis for our method. Standard risk measures, such as value-at-risk …

Persistent link: https://www.econbiz.de/10010412678

What is the chance that the equity premium varies over time? : evidence from regressions on the dividend-price ratio

Wachter, Jessica; Warusawitharana, Missaka - In: Journal of econometrics 186 (2015) 1, pp. 74-93

Persistent link: https://www.econbiz.de/10011349544

On exactitude in financial regulation : value-at-risk, expected shortfall, and expectiles

Chen, Jim - In: Risks : open access journal 6 (2018) 2, pp. 1-28

This article reviews two leading measures of financial risk and an emerging alternative. Embraced by the Basel accords …, value-at-risk and expected shortfall are the leading measures of financial risk. Expectiles offset the weaknesses of value-at-risk … (VaR) and expected shortfall. Indeed, expectiles are the only elicitable law-invariant coherent risk measures. After …

Persistent link: https://www.econbiz.de/10011867427

Sentiment and uncertainty

Birru, Justin; Young, Trevor - 2020

Sentiment should exhibit its strongest effects on asset prices at times when valuations are most subjective. Consistent with this hypothesis, we show that a one-standard-deviation increase in aggregate uncertainty amplifies the predictive ability of sentiment for market returns by two to four...

Persistent link: https://www.econbiz.de/10012216707