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One-fund separation in incomplete markets with two assets
Won, Dongchul - In: Finance research letters 24 (2018), pp. 168-174
Persistent link: https://www.econbiz.de/10011982563
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Radner equilibria under ambiguous volatility
Beißner, Patrick - 2013
The present paper considers a class of general equilibrium economics when the primitive uncertainty model features uncertainty about continuous-time volatility. This requires a set of mutually singular priors, which do not share the same null sets. For this setting we introduce an appropriate...
Persistent link: https://www.econbiz.de/10010212527
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Optimal consumption and savings with stochastic income and recursive utility
Wang, Chong; Wang, Neng; Yang, Jinqiang - In: Journal of economic theory 165 (2016), pp. 292-331
Persistent link: https://www.econbiz.de/10011650110
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Pricing and Hedging in Incomplete Markets with Model Uncertainty
Balter, Anne - 2018
robust optimal control problem under model uncertainty leads to (i) risk-neutral pricing for the traded risky assets, and (ii …) adjusting the drift of the nontraded risk drivers in a conservative direction. The direction depends on the agent's long or …
Persistent link: https://www.econbiz.de/10012937481
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Pricing and Hedging in Incomplete Markets with Model Uncertainty
Balter, Anne - 2018
robust optimal control problem under model uncertainty leads to (i) risk-neutral pricing for the traded risky assets, and (ii …) adjusting the drift of the nontraded risk drivers in a conservative direction. The direction depends on the agent's long or …
Persistent link: https://www.econbiz.de/10012937907
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Analyzing Equilibrium in Incomplete Markets with Model Uncertainty
Yoshikawa, Daisuke - 2015
and a risk management policy. Using this framework, we demonstrate the existence of equilibrium. Moreover, we clarify the … endowments in equilibrium by indifference pricing depends on the level of risk aversion, initial capital, and agents' risk limits …
Persistent link: https://www.econbiz.de/10013018753
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Robust portfolio choice and indifference valuation
Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 39 (2014) 4, pp. 1109-1141
Persistent link: https://www.econbiz.de/10010462159
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Utility maximization in a large market
Mostovyi, Oleksii - In: Mathematical finance : an international journal of … 28 (2018) 1, pp. 106-118
Persistent link: https://www.econbiz.de/10011969163
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Facelifting in utility maximization
Larsen, Kasper; Soner, Halil Mete; Žitković, Gordan - In: Finance and stochastics 20 (2016) 1, pp. 99-121
Persistent link: https://www.econbiz.de/10011460007