Related references
Note: Only part of the references are listed.Pricing and hedging in incomplete markets with model uncertainty
Anne G. Balter et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2020)
Robust consumption and portfolio policies when asset prices can jump
Yacine Ait-Sahalia et al.
JOURNAL OF ECONOMIC THEORY (2019)
Robust reinsurance contracts with uncertainty about jump risk
Duni Hu et al.
EUROPEAN JOURNAL OF OPERATIONAL RESEARCH (2018)
Optimal portfolio allocation with volatility and co-jump risk that Markowitz would like
I. Oliva et al.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2018)
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Yan Zeng et al.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2018)
Dynamic derivative strategies with stochastic interest rates and model uncertainty
Marcos Escobar et al.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2018)
Optimal consumption and investment with Epstein-Zin recursive utility
Holger Kraft et al.
FINANCE AND STOCHASTICS (2017)
Robust portfolio choice with derivative trading under stochastic volatility
Marcos Escobar et al.
JOURNAL OF BANKING & FINANCE (2015)
Cross-country heterogeneity in intertemporal substitution
Tomas Havranek et al.
JOURNAL OF INTERNATIONAL ECONOMICS (2015)
Robust portfolio choice with stochastic interest rates
Christian Riis Flor et al.
ANNALS OF FINANCE (2014)
Consumption-portfolio optimization with recursive utility in incomplete markets
Holger Kraft et al.
FINANCE AND STOCHASTICS (2013)
Robust portfolio choice with uncertainty about jump and diffusion risk
Nicole Branger et al.
JOURNAL OF BANKING & FINANCE (2013)
The costs of suboptimal dynamic asset allocation: General results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Linda Sandris Larsen et al.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2012)
Dynamic portfolio choice under ambiguity and regime switching mean returns
Hening Liu
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2011)
Robust consumption and portfolio choice for time varying investment opportunities
Hening Liu
ANNALS OF FINANCE (2010)
Dynamic consumption and asset allocation with derivative securities
Yuan-Hung Hsuku
QUANTITATIVE FINANCE (2007)
Maximum likelihood estimation of stochastic volatility models
Yacine Ait-Sahalia et al.
JOURNAL OF FINANCIAL ECONOMICS (2007)
Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
Pascal J. Maenhout
JOURNAL OF ECONOMIC THEORY (2006)
Robust control and model misspecification
Lars Peter Hansen et al.
JOURNAL OF ECONOMIC THEORY (2006)
Dynamic consumption and portfolio choice with stochastic volatility in incomplete markets
G Chacko et al.
REVIEW OF FINANCIAL STUDIES (2005)
An equilibrium model of rare-event premia and its implication for option smirks
J Liu et al.
REVIEW OF FINANCIAL STUDIES (2005)
Strategic asset allocation in a continuous-time VAR model
JY Campbell et al.
JOURNAL OF ECONOMIC DYNAMICS & CONTROL (2004)
Robust portfolio rules and asset pricing
PJ Maenhout
REVIEW OF FINANCIAL STUDIES (2004)
On the stability of continuous-time portfolio problems with stochastic opportunity set
R Korn et al.
MATHEMATICAL FINANCE (2004)
Dynamic derivative strategies
J Liu et al.
JOURNAL OF FINANCIAL ECONOMICS (2003)
Delta-hedged gains and the negative market volatility risk premium
G Bakshi et al.
REVIEW OF FINANCIAL STUDIES (2003)
A QUARTET OF SEMIGROUPS FOR MODEL SPECIFICATION, ROBUSTNESS, PRICES OF RISK, AND MODEL DETECTION
Evan W. Anderson et al.
JOURNAL OF THE EUROPEAN ECONOMIC ASSOCIATION (2003)
Dynamic asset allocation with event risk
J Liu et al.
JOURNAL OF FINANCE (2003)
Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences
M Schroder et al.
STOCHASTIC PROCESSES AND THEIR APPLICATIONS (2003)
Ambiguity, risk, and asset returns in continuous time
ZJ Chen et al.
ECONOMETRICA (2002)
Robust control and model uncertainty
LP Hansen et al.
AMERICAN ECONOMIC REVIEW (2001)
An existence theorem of intertemporal recursive utility in the presence of Levy jumps
CH Ma
JOURNAL OF MATHEMATICAL ECONOMICS (2000)
A study towards a unified approach to the joint estimation of objective and risk neutral measures for the purpose of options valuation
M Chernov et al.
JOURNAL OF FINANCIAL ECONOMICS (2000)
Share Paper
