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Optimal buffer stocks and precautionary savings with disappointment aversion

Aizenman, Joshua - 1995

Persistent link: https://www.econbiz.de/10000935902

Cost-efficient payoffs under model ambiguity

Bernard, Carole; Junike, Gero; Lux, Thibaut; Vanduffel, … - In: Finance and stochastics 28 (2024) 4, pp. 965-997

Persistent link: https://www.econbiz.de/10015130486

Ambiguous volatility and asset pricing in continuous time

Epstein, Larry G.; Ji, Shaolin - In: The review of financial studies 26 (2013) 7, pp. 1740-1786

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On the economic benefit of utility based estimation of a volatility model

Clements, Adam; Silvennoinen, Annastiina - 2009

Persistent link: https://www.econbiz.de/10003880634

Ambiguous volatility, possibility and utility in continuous time

Epstein, Larry G.; Jib, Shaolin - In: Journal of mathematical economics 50 (2014), pp. 269-282

Persistent link: https://www.econbiz.de/10010478634

Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns

Cecchetti, Stephen G. - 1992

bound to discriminate among different utility functions …

Persistent link: https://www.econbiz.de/10012474862

Ambiguous Volatility and Asset Pricing in Continuous Time

Epstein, Larry G. - 2013

This paper formulates a model of utility for a continuous time frame-work that captures the decision-maker's concern … with ambiguity about both volatility and drift. Corresponding extensions of some basic results in asset pricing theory are …, sharper predictions can be obtained by assuming preference maximization and equilibrium. Thus we apply the model of utility to …

Persistent link: https://www.econbiz.de/10013088933

Stochastic Volatility for Utility Maximisers - A Risk to Be Hedged?

Nielsen, Simon - 2015

to reconcile this fact with Merton's theory of optimal portfolio selection for wealth maximising agents. In this paper we …

Persistent link: https://www.econbiz.de/10013022675

Testing Volatility Restrictions on Intertemporal Marginal Rates of Substitution Implied by Euler Equations and Asset Returns

Cecchetti, Stephen G. - 2007

bound to discriminate among different utility functions …

Persistent link: https://www.econbiz.de/10012776681

Robust control and CAPMs under a quadratic model with inflation-deflation risk

Batbold, Bolorsuvd; Kikuchi, Kentaro; Kusuda, Koji - 2024

Persistent link: https://www.econbiz.de/10014549675