[go: up one dir, main page]
More Web Proxy on the site http://driver.im/
create a website
Robust portfolio choice with uncertainty about jump and diffusion risk. (2013). Larsen, Linda Sandris ; Branger, Nicole.
In: Journal of Banking & Finance.
RePEc:eee:jbfina:v:37:y:2013:i:12:p:5036-5047.

Full description at Econpapers || Download paper

Cited: 49

Citations received by this document

Cites: 20

References cited by this document

Cocites: 50

Documents which have cited the same bibliography

Coauthors: 0

Authors who have wrote about the same topic

Citations

Citations received by this document

  1. Optimal payout strategies when Bruno de Finetti meets model uncertainty. (2024). Siu, Tak Kuen ; Zhu, Jinxia ; Feng, Yang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:116:y:2024:i:c:p:148-164.

    Full description at Econpapers || Download paper

  2. Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets. (2023). Yan, Jingzhou ; Xia, Xiaobao ; Pang, Tao ; Lv, Wujun.
    In: Financial Innovation.
    RePEc:spr:fininn:v:9:y:2023:i:1:d:10.1186_s40854-023-00472-8.

    Full description at Econpapers || Download paper

  3. Robust risk choice under high-water mark contract. (2023). Yang, Jinqiang ; Mu, Congming.
    In: Review of Quantitative Finance and Accounting.
    RePEc:kap:rqfnac:v:61:y:2023:i:1:d:10.1007_s11156-023-01152-5.

    Full description at Econpapers || Download paper

  4. Robust leverage choice of hedge funds with rare disasters. (2023). Luo, Deqing ; Yan, Qianhui ; Mu, Congming.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:54:y:2023:i:c:s1544612323000636.

    Full description at Econpapers || Download paper

  5. Robust consumption and portfolio choice with derivatives trading. (2023). Zhuang, YI ; Yang, Charles ; Wei, Pengyu.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:304:y:2023:i:2:p:832-850.

    Full description at Econpapers || Download paper

  6. Robust investment and hedging policy with limited commitment. (2023). Liang, Yongtang ; Wu, Yaoyao ; Ma, Jinrun.
    In: Economic Modelling.
    RePEc:eee:ecmode:v:125:y:2023:i:c:s0264999323001566.

    Full description at Econpapers || Download paper

  7. Robust irreversible investment strategy with ambiguity to jump and diffusion risk. (2023). Wang, Haijun ; Li, Shuang.
    In: International Review of Finance.
    RePEc:bla:irvfin:v:23:y:2023:i:3:p:645-665.

    Full description at Econpapers || Download paper

  8. Robust Equilibrium Strategy for Mean-Variance Portfolio Selection. (2023). Zhou, Chao ; Qian, Shuaijie ; Li, Mengge.
    In: Papers.
    RePEc:arx:papers:2305.07166.

    Full description at Econpapers || Download paper

  9. .

    Full description at Econpapers || Download paper

  10. .

    Full description at Econpapers || Download paper

  11. Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with more General Dependent Claim Risks and Defaultable Risk. (2022). Ma, Rufei ; Zhao, Peibiao ; Zhang, Yan.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:24:y:2022:i:4:d:10.1007_s11009-022-09927-4.

    Full description at Econpapers || Download paper

  12. Robust Stochastic Stackelberg Differential Reinsurance and Investment Games for an Insurer and a Reinsurer with Delay. (2022). Yang, LU ; Zhu, Huainian ; Zhang, Chengke.
    In: Methodology and Computing in Applied Probability.
    RePEc:spr:metcap:v:24:y:2022:i:1:d:10.1007_s11009-021-09855-9.

    Full description at Econpapers || Download paper

  13. Robust leverage dynamics without commitment. (2022). Zhao, Siqi ; Yang, Jinqiang ; Li, Shilin.
    In: Economic Theory.
    RePEc:spr:joecth:v:74:y:2022:i:2:d:10.1007_s00199-022-01419-3.

    Full description at Econpapers || Download paper

  14. Robust consumption policy with the desire for wealth accumulation. (2022). Gong, Siwen ; Niu, Yingjie ; Wang, Yuanping.
    In: Review of Economics of the Household.
    RePEc:kap:reveho:v:20:y:2022:i:3:d:10.1007_s11150-021-09551-0.

    Full description at Econpapers || Download paper

  15. An analytical solution for the robust investment-reinsurance strategy with general utilities. (2022). Wang, Xiaoyang ; Chen, Peimin ; Zhou, Xia.
    In: The North American Journal of Economics and Finance.
    RePEc:eee:ecofin:v:63:y:2022:i:c:s1062940822001279.

    Full description at Econpapers || Download paper

  16. Portfolio Liquidation under Factor Uncertainty. (2021). Zhou, Chao ; Xia, Xiaonyu ; Horst, Ulrich.
    In: Rationality and Competition Discussion Paper Series.
    RePEc:rco:dpaper:274.

    Full description at Econpapers || Download paper

  17. Model uncertainty on commodity portfolios, the role of convenience yield. (2021). Escobar Anel, Marcos ; Escobar-Anel, Marcos ; Chen, Junhe.
    In: Annals of Finance.
    RePEc:kap:annfin:v:17:y:2021:i:4:d:10.1007_s10436-021-00393-5.

    Full description at Econpapers || Download paper

  18. Tail Risk and Robust Portfolio Decisions. (2021). Zeng, Xudong ; Luo, Dan ; Jin, Xing.
    In: Management Science.
    RePEc:inm:ormnsc:v:67:y:2021:i:5:p:3254-3275.

    Full description at Econpapers || Download paper

  19. Robust optimal investment and reinsurance for an insurer with inside information. (2021). Wang, Wenyuan ; Chen, Fenge ; Peng, Xingchun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:96:y:2021:i:c:p:15-30.

    Full description at Econpapers || Download paper

  20. Optimal risk exposure and dividend payout policies under model uncertainty. (2021). Siu, Tak Kuen ; Zhu, Jinxia ; Feng, Yang.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:100:y:2021:i:c:p:1-29.

    Full description at Econpapers || Download paper

  21. Optimal risk taking under high-water mark contract with jump risk. (2021). Yan, Jingzhou ; Mu, Congming ; Liang, Zhian .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:38:y:2021:i:c:s1544612319303599.

    Full description at Econpapers || Download paper

  22. Robust Portfolio Optimization with Multi-Factor Stochastic Volatility. (2020). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang.
    In: Journal of Optimization Theory and Applications.
    RePEc:spr:joptap:v:186:y:2020:i:1:d:10.1007_s10957-020-01687-w.

    Full description at Econpapers || Download paper

  23. Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes. (2020). Xu, Jing ; Li, YA ; Ali, Y ; Lei, Yaoting .
    In: Management Science.
    RePEc:inm:ormnsc:v:66:y:2020:i:2:p:823-843.

    Full description at Econpapers || Download paper

  24. Robust optimal reinsurance–investment strategy with price jumps and correlated claims. (2020). Yang, Peng ; Chen, Zhiping.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:92:y:2020:i:c:p:27-46.

    Full description at Econpapers || Download paper

  25. Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences. (2019). van Wijnbergen, Sweder ; Olijslagers, Stan.
    In: Tinbergen Institute Discussion Papers.
    RePEc:tin:wpaper:20190030.

    Full description at Econpapers || Download paper

  26. Dynamic portfolio strategies under a fully correlated jump-diffusion process. (2019). Moreno-Franco, Harold ; Escobar Anel, Marcos ; Escobar-Anel, Marcos.
    In: Annals of Finance.
    RePEc:kap:annfin:v:15:y:2019:i:3:d:10.1007_s10436-019-00350-3.

    Full description at Econpapers || Download paper

  27. Robust optimal investment–reinsurance strategies for an insurer with multiple dependent risks. (2019). Kang, Zhilin ; Yao, Haixiang ; Sun, Jingyun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:89:y:2019:i:c:p:157-170.

    Full description at Econpapers || Download paper

  28. Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion. (2019). Zeng, Yan ; Shen, Yang ; Zhao, Hui ; Zhang, Wenjun.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:88:y:2019:i:c:p:159-180.

    Full description at Econpapers || Download paper

  29. Optimal reinsurance to minimize the discounted probability of ruin under ambiguity. (2019). Young, Virginia R ; Li, Danping.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:87:y:2019:i:c:p:143-152.

    Full description at Econpapers || Download paper

  30. Reinsurance contract design when the insurer is ambiguity-averse. (2019). Wang, Hailong ; Hu, Duni.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:86:y:2019:i:c:p:241-255.

    Full description at Econpapers || Download paper

  31. Suboptimal investment behavior and welfare costs: A simulation based approach. (2019). Reus, Lorenzo ; Castaeda, Pablo .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:30:y:2019:i:c:p:170-180.

    Full description at Econpapers || Download paper

  32. Can ambiguity about rare disasters explain equity premium puzzle?. (2019). Mu, Congming ; Wang, Yuanping.
    In: Economics Letters.
    RePEc:eee:ecolet:v:183:y:2019:i:c:36.

    Full description at Econpapers || Download paper

  33. Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences. (2019). van Wijnbergen, Sweder ; Olijslager, Stan.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:13708.

    Full description at Econpapers || Download paper

  34. Robust portfolio optimization with multi-factor stochastic volatility. (2019). Zhu, Song-Ping ; Ma, Guiyuan ; Lu, Xiaoping ; Yang, Ben-Zhang.
    In: Papers.
    RePEc:arx:papers:1910.06872.

    Full description at Econpapers || Download paper

  35. Portfolio liquidation under factor uncertainty. (2019). Zhou, Chao ; Xia, Xiaonyu ; Horst, Ulrich.
    In: Papers.
    RePEc:arx:papers:1909.00748.

    Full description at Econpapers || Download paper

  36. Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach. (2018). Zeng, Xudong ; Jin, Xing.
    In: Mathematics of Operations Research.
    RePEc:inm:ormoor:v:43:y:2018:i:2:p:347-376.

    Full description at Econpapers || Download paper

  37. Robust reinsurance contracts with uncertainty about jump risk. (2018). Hu, Duni ; Wang, Hailong ; Chen, Shou.
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:266:y:2018:i:3:p:1175-1188.

    Full description at Econpapers || Download paper

  38. Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility. (2018). Zeng, Yan ; Yang, Zhou ; Chen, Zheng ; Li, Danping.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:88:y:2018:i:c:p:70-103.

    Full description at Econpapers || Download paper

  39. Dynamic derivative strategies with stochastic interest rates and model uncertainty. (2018). Escobar, Marcos ; Rubtsov, Alexey ; Ferrando, Sebastian.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:86:y:2018:i:c:p:49-71.

    Full description at Econpapers || Download paper

  40. Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity. (2017). Viens, Frederi G ; Yi, BO ; Gu, Ailing.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:72:y:2017:i:c:p:235-249.

    Full description at Econpapers || Download paper

  41. Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model. (2016). Zheng, Xiaoxiao ; Sun, Zhongyang ; Zhou, Jieming .
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:67:y:2016:i:c:p:77-87.

    Full description at Econpapers || Download paper

  42. Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps. (2016). Zeng, Yan ; Gu, Ailing ; Li, Danping.
    In: Insurance: Mathematics and Economics.
    RePEc:eee:insuma:v:66:y:2016:i:c:p:138-152.

    Full description at Econpapers || Download paper

  43. Alpha-robust mean-variance reinsurance-investment strategy. (2016). Li, Bin ; Xiong, Dewen.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:70:y:2016:i:c:p:101-123.

    Full description at Econpapers || Download paper

  44. Dynamic portfolio selection with mispricing and model ambiguity. (2015). Li, Zhongfei ; Viens, Frederi ; Yi, BO ; Law, Baron.
    In: Annals of Finance.
    RePEc:kap:annfin:v:11:y:2015:i:1:p:37-75.

    Full description at Econpapers || Download paper

  45. Robust portfolio choice with derivative trading under stochastic volatility. (2015). Escobar Anel, Marcos ; Ferrando, Sebastian ; Rubtsov, Alexey.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:61:y:2015:i:c:p:142-157.

    Full description at Econpapers || Download paper

References

References cited by this document

  1. Øksendal, B. ; Sulem, A. Applied Stochastic Control of Jump Diffusions. 2005 Springer-Verlag:
    Paper not yet in RePEc: Add citation now

  2. Anderson, E. ; Hansen, L.P. ; Sargent, T.J. A quartet of semi-groups for model specification, robustness, prices of risk, and model detection. 2003 Journal of the European Economic Association. 1 68-123

  3. Branger, N. ; Larsen, L.S. ; Munk, C. Robust portfolio chicie with ambiguity and learning about return predictability. 2013 Journal of Banking and Finance. 37 1397-1411

  4. Branger, N. ; Schlag, C. ; Schneider, E. Optimal portfolios when volatility can jump. 2008 Journal of Banking and Finance. 32 1087-1097

  5. Epstein, L.G. ; Schneider, M. Ambiguity and asset markets. 2010 Annual Review of Financial Economics. 2 315-346

  6. Gilboa, I. ; Schmeidler, D. Maximin expected utility with a non-unique prior. 1989 Journal of Mathematical Economics. 18 141-153

  7. Hansen, L.P. ; Sargant, T.J. ; Tallarini, T.D.J. Robust permanent income and pricing. 1999 Review of Economic Studies. 66 873-907

  8. Hansen, L.P. ; Sargant, T.J. ; Wang, N.E. Robust permanent income and pricing with filtering. 2002 Macroeconomic Dynamics. 6 40-84

  9. Jin, X. ; Zhang, A.X. Decomposition of optimal portfolio weight in a jump-diffusion model and its applications. 2012 Review of Financial Studies. 25 2877-2919

  10. Klibanoff, P. ; Marinacci, M. ; Mukerji, S. A smooth model of decision making under ambiguity. 2005 Econometrica. 73 1849-1892

  11. Liu, H. Dynamic portfolio choice under ambiguity and regime switching mean returns. 2011 Journal of Economic Dynamics and Control. 35 623-640

  12. Liu, H. Robust consumption and portfolio choice for time varying investment opportunitie. 2010 Annals of Finance. 6 435-454

  13. Liu, J. ; Longstaff, F. ; Pan, J. Dynamic asset allocation with event risk. 2003 Journal of Finance. 58 231-259

  14. Liu, J. ; Pan, J. Dynamic derivatives strategies. 2003 Journal of Financial Economics. 69 401-430

  15. Liu, J. ; Pan, J. ; Wang, T. An equilibrium model of rare-event premia and its implication for option smirks. 2005 Review of Financial Studies. 18 131-164

  16. Maenhout, P.J. Robust portfolio rules and asset pricing. 2004 Review of Financial Studies. 17 951-983

  17. Maenhout, P.J. Robust portfolio rules and detecting-error probabilities for a mean-reverting risk premium. 2006 Journal of Economic Theory. 128 136-163

  18. Merton, R.C. On estimating the expected return on the market: an exploartory investigation. 1980 Journal of Financial Economics. 8 1-39

  19. Pathak, P.A., 2002. Notes on robust portfolio choice. Working paper.
    Paper not yet in RePEc: Add citation now

  20. Uppal, R. ; Wang, T. Model misspecification and underdiversification. 2003 Journal of Finance. 58 2465-2486

Cocites

Documents in RePEc which have cited the same bibliography

  1. Global minimum variance portfolio optimisation under some model risk: A robust regression-based approach. (2015). Tokpavi, Sessi ; Maillet, Bertrand ; Vaucher, Benoit .
    In: European Journal of Operational Research.
    RePEc:eee:ejores:v:244:y:2015:i:1:p:289-299.

    Full description at Econpapers || Download paper

  2. Uncertain dynamics, correlation effects, and robust investment decisions. (2015). Flor, Christian ; Hesel, Soren .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:51:y:2015:i:c:p:278-298.

    Full description at Econpapers || Download paper

  3. Dynamic Asset Allocation with Ambiguous Return Predictability. (2014). Miao, Jianjun ; ju, nengjiu ; Chen, Hui.
    In: Review of Economic Dynamics.
    RePEc:red:issued:12-77.

    Full description at Econpapers || Download paper

  4. Instabilities and robust control in natural resource management. (2013). Xepapadeas, Anastasios ; Roseta-Palma, Catarina.
    In: Portuguese Economic Journal.
    RePEc:spr:portec:v:12:y:2013:i:3:p:161-180.

    Full description at Econpapers || Download paper

  5. Inflation ambiguity and the term structure of U.S. Government bonds. (2013). Ulrich, Maxim .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:60:y:2013:i:2:p:295-309.

    Full description at Econpapers || Download paper

  6. Robust portfolio choice with uncertainty about jump and diffusion risk. (2013). Larsen, Linda Sandris ; Branger, Nicole.
    In: Journal of Banking & Finance.
    RePEc:eee:jbfina:v:37:y:2013:i:12:p:5036-5047.

    Full description at Econpapers || Download paper

  7. Ambiguity shifts and the 2007–2008 financial crisis. (2012). Boyarchenko, Nina.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:59:y:2012:i:5:p:493-507.

    Full description at Econpapers || Download paper

  8. Three types of ambiguity. (2012). Sargent, Thomas ; Hansen, Lars ; ThomasJ. Sargent, .
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:59:y:2012:i:5:p:422-445.

    Full description at Econpapers || Download paper

  9. The market price of fiscal uncertainty. (2012). Schmid, Lukas ; Nguyen, Thien T. ; Croce, Mariano M..
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:59:y:2012:i:5:p:401-416.

    Full description at Econpapers || Download paper

  10. On model ambiguity and money neutrality. (2012). lioui, abraham ; Poncet, Patrice .
    In: Journal of Macroeconomics.
    RePEc:eee:jmacro:v:34:y:2012:i:4:p:1020-1033.

    Full description at Econpapers || Download paper

  11. Set coverage and robust policy. (2012). Onatski, Alexei ; Henry, Marc.
    In: Economics Letters.
    RePEc:eee:ecolet:v:115:y:2012:i:2:p:256-257.

    Full description at Econpapers || Download paper

  12. Small noise methods for risk-sensitive/robust economies. (2012). Sargent, Thomas ; Hansen, Lars ; Anderson, Evan ; ThomasJ. Sargent, .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:36:y:2012:i:4:p:468-500.

    Full description at Econpapers || Download paper

  13. Dynamic portfolio choice under ambiguity and regime switching mean returns. (2011). Liu, Hening.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:4:p:623-640.

    Full description at Econpapers || Download paper

  14. Risk, uncertainty, and option exercise. (2011). Wang, Neng ; Miao, Jianjun.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:35:y:2011:i:4:p:442-461.

    Full description at Econpapers || Download paper

  15. Robust general equilibrium under stochastic volatility model. (2010). Li, Hongyi ; Wu, Chongfeng ; Xu, Weidong.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:7:y:2010:i:4:p:224-231.

    Full description at Econpapers || Download paper

  16. Robust hidden Markov LQG problems. (2010). Sargent, Thomas ; Mayer, Ricardo ; Hansen, Lars.
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:34:y:2010:i:10:p:1951-1966.

    Full description at Econpapers || Download paper

  17. Ambiguity, Learning, and Asset Returns. (2010). Miao, Jianjun ; ju, nengjiu.
    In: CEMA Working Papers.
    RePEc:cuf:wpaper:438.

    Full description at Econpapers || Download paper

  18. The impact of risk and uncertainty on expected returns. (2009). Anderson, Evan ; Ghysels, Eric ; Juergens, Jennifer L..
    In: Journal of Financial Economics.
    RePEc:eee:jfinec:v:94:y:2009:i:2:p:233-263.

    Full description at Econpapers || Download paper

  19. Doubts or variability?. (2009). Sargent, Thomas ; Hansen, Lars ; Barillas, Francisco.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:144:y:2009:i:6:p:2388-2418.

    Full description at Econpapers || Download paper

  20. Methods for robust control. (2009). Söderström, Ulf ; Leitemo, Kai ; Dennis, Richard ; Soderstrom, Ulf .
    In: Journal of Economic Dynamics and Control.
    RePEc:eee:dyncon:v:33:y:2009:i:8:p:1604-1616.

    Full description at Econpapers || Download paper

  21. Ambiguity, Risk and Portfolio Choice under Incomplete Information. (2009). Miao, Jianjun.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2009:v:10:i:2:p:257-279.

    Full description at Econpapers || Download paper

  22. Modeling the Long Run: Valuation in Dynamic Stochastic Economies. (2008). Hansen, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:14243.

    Full description at Econpapers || Download paper

  23. The market price of risk and the equity premium: A legacy of the Great Depression?. (2008). Sargent, Thomas ; Cogley, Timothy.
    In: Journal of Monetary Economics.
    RePEc:eee:moneco:v:55:y:2008:i:3:p:454-476.

    Full description at Econpapers || Download paper

  24. Robust Monetary Policy. (2008). Altar-Samuel, Adam .
    In: Advances in Economic and Financial Research - DOFIN Working Paper Series.
    RePEc:cab:wpaefr:21.

    Full description at Econpapers || Download paper

  25. Ambiguity Aversion and the Term Structure of Interest Rates. (2007). Trojani, Fabio ; Gagliardini, Patrick ; Porchia, Paolo .
    In: University of St. Gallen Department of Economics working paper series 2007.
    RePEc:usg:dp2007:2007-29.

    Full description at Econpapers || Download paper

  26. Beliefs, Doubts and Learning: Valuing Economic Risk. (2007). Hansen, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12948.

    Full description at Econpapers || Download paper

  27. Robust Equilibrium Yield Curves. (2007). Vincent, Nicolas ; Kleshchelski, Isaac .
    In: Cahiers de recherche.
    RePEc:iea:carech:0802.

    Full description at Econpapers || Download paper

  28. Long-term Risk: An Operator Approach. (2007). Hansen, Lars ; Sheinkman, Jose A.
    In: Levine's Bibliography.
    RePEc:cla:levrem:122247000000001669.

    Full description at Econpapers || Download paper

  29. The Dynamics of Mergers and Acquisitions in Oligopolistic Industries. (2007). Miao, Jianjun ; Hackbarth, Dirk ; Wang, Neng.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2007-017.

    Full description at Econpapers || Download paper

  30. Robustness and Information Processing. (2006). Kasa, Kenneth.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:9:y:2006:i:1:p:1-33.

    Full description at Econpapers || Download paper

  31. Long Term Risk: An Operator Approach. (2006). Scheinkman, Jose ; Hansen, Lars.
    In: NBER Working Papers.
    RePEc:nbr:nberwo:12650.

    Full description at Econpapers || Download paper

  32. Methods for Robust Control. (2006). Söderström, Ulf ; Leitemo, Kai ; Dennis, Richard.
    In: Working Papers.
    RePEc:igi:igierp:307.

    Full description at Econpapers || Download paper

  33. Methods for robust control. (2006). Söderström, Ulf ; Leitemo, Kai ; Dennis, Richard.
    In: Working Paper Series.
    RePEc:fip:fedfwp:2006-10.

    Full description at Econpapers || Download paper

  34. Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium. (2006). Maenhout, Pascal J..
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:128:y:2006:i:1:p:136-163.

    Full description at Econpapers || Download paper

  35. Welfare-based monetary policy rules in an estimated DSGE model of the US economy. (2006). Pesenti, Paolo ; Juillard, Michel ; Karam, Philippe ; Laxton, Douglas.
    In: Working Paper Series.
    RePEc:ecb:ecbwps:2006613.

    Full description at Econpapers || Download paper

  36. Rational expectations and ambiguity: A comment on Abel (2002). (2006). Zimper, Alexander.
    In: Economics Bulletin.
    RePEc:ebl:ecbull:v:4:y:2006:i:2:p:1-15.

    Full description at Econpapers || Download paper

  37. Methods for Robust Control. (2006). Söderström, Ulf ; Leitemo, Kai ; Dennis, Richard.
    In: CEPR Discussion Papers.
    RePEc:cpr:ceprdp:5638.

    Full description at Econpapers || Download paper

  38. Portfolio Selection with Two-Stage Preferences. (2005). Taboga, Marco.
    In: Finance.
    RePEc:wpa:wuwpfi:0506009.

    Full description at Econpapers || Download paper

  39. Drift and Volatilities: Monetary Policies and Outcomes in the Post WWII U.S.. (2005). Sargent, Thomas ; Cogley, Timothy.
    In: Review of Economic Dynamics.
    RePEc:red:issued:v:8:y:2005:i:2:p:262-302.

    Full description at Econpapers || Download paper

  40. C-CAPM without Ex Post Data. (2005). Söderlind, Paul.
    In: SIFR Research Report Series.
    RePEc:hhs:sifrwp:0039.

    Full description at Econpapers || Download paper

  41. Robust estimation and control under commitment. (2005). Sargent, Thomas ; Hansen, Lars.
    In: Journal of Economic Theory.
    RePEc:eee:jetheo:v:124:y:2005:i:2:p:258-301.

    Full description at Econpapers || Download paper

  42. Hypothesis testing for diffusion processes with continuous observations: Direct computation of large deviation results for error probabilities. (2005). Govindaraj, Suresh .
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:4:p:234-247.

    Full description at Econpapers || Download paper

  43. Portfolio selection with two-stage preferences. (2005). Taboga, Marco.
    In: Finance Research Letters.
    RePEc:eee:finlet:v:2:y:2005:i:3:p:152-164.

    Full description at Econpapers || Download paper

  44. Risk, uncertainty and option exercise. (2004). Miao, Jianjun.
    In: Finance.
    RePEc:wpa:wuwpfi:0410013.

    Full description at Econpapers || Download paper

  45. A Note on Consumption and Savings under Knightian Uncertainty. (2004). Miao, Jianjun.
    In: Annals of Economics and Finance.
    RePEc:cuf:journl:y:2004:v:5:i:2:p:299-311.

    Full description at Econpapers || Download paper

  46. Risk, Uncertainty, and Option Exercise. (2004). Wang, Neng ; Miao, Jianjun.
    In: Boston University - Department of Economics - The Institute for Economic Development Working Papers Series.
    RePEc:bos:iedwpr:dp-136.

    Full description at Econpapers || Download paper

  47. Consumption and Saving under Knightian Uncertainty. (2003). Miao, Jianjun.
    In: Boston University - Department of Economics - The Institute for Economic Development Working Papers Series.
    RePEc:bos:iedwpr:dp-134.

    Full description at Econpapers || Download paper

  48. Ambiguity, Risk and Portfolio Choice under Incomplete Information. (2001). Miao, Jianjun.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2009-019.

    Full description at Econpapers || Download paper

  49. Dynamic Asset Allocation with Ambiguous Return Predictability. (2001). Miao, Jianjun ; ju, nengjiu ; Chen, Hui.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2009-015.

    Full description at Econpapers || Download paper

  50. Ambiguity, Learning, and Asset Returns. (2001). Miao, Jianjun ; ju, nengjiu.
    In: Boston University - Department of Economics - Working Papers Series.
    RePEc:bos:wpaper:wp2009-014.

    Full description at Econpapers || Download paper

Coauthors

Authors registered in RePEc who have wrote about the same topic

Report date: 2025-01-08 00:40:51 || Missing content? Let us know

CitEc is a RePEc service, providing citation data for Economics since 2001. Sponsored by INOMICS. Last updated October, 6 2023. Contact: CitEc Team.