Dynamic derivative strategies with stochastic interest rates and model uncertainty

DOI10.1016/J.JEDC.2017.09.007zbMath1401.91516OpenAlexW2761953470MaRDI QIDQ1657151

Marcos Escobar, Sebastian E. Ferrando, Alexey N. Rubtsov

Publication date: 13 August 2018

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2017.09.007

zbMATH Keywords

stochastic volatilityambiguitywelfare lossstochastic interest ratesrobust portfolio choice

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Interest rates, asset pricing, etc. (stochastic models) (91G30) Derivative securities (option pricing, hedging, etc.) (91G20) Portfolio theory (91G10)

Related Items (13)

Robust equilibrium strategy for DC pension plan with the return of premiums clauses in a jump-diffusion model ⋮ Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause ⋮ Robust consumption and portfolio choice with derivatives trading ⋮ Reinsurance contract design when the insurer is ambiguity-averse ⋮ Horizon-unbiased investment with ambiguity ⋮ Mean-variance asset-liability management under CIR interest rate and the family of 4/2 stochastic volatility models with derivative trading ⋮ The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment ⋮ Optimal investment-reinsurance strategy with derivatives trading under the joint interests of an insurer and a reinsurer ⋮ Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity ⋮ A collective investment problem in a stochastic volatility environment: the impact of sharing rules ⋮ Life-Cycle Planning with Ambiguous Economics and Mortality Risks ⋮ Robust portfolios with commodities and stochastic interest rates ⋮ Dynamic optimal mean-variance portfolio selection with stochastic volatility and stochastic interest rate

Uses Software

• Algorithm 963

Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
• Efficient estimation of general dynamic models with a continuum of moment conditions
• Robust portfolio choice with stochastic interest rates
• Portfolio management with stochastic interest rates and inflation ambiguity
• Dynamic portfolio choice under ambiguity and regime switching mean returns
• Robust consumption and portfolio choice for time varying investment opportunities
• Estimating the Wishart affine stochastic correlation model using the empirical characteristic function
• Spectral GMM estimation of continuous-time processes
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
• GENERALIZATION OF GMM TO A CONTINUUM OF MOMENT CONDITIONS
• A Theory of the Term Structure of Interest Rates
• The Shape and Term Structure of the Index Option Smirk: Why Multifactor Stochastic Volatility Models Work So Well
• A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
• Robustness and Ambiguity Aversion in General Equilibrium *
• Algorithm 963
• A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options
• An intertemporal asset pricing model with stochastic consumption and investment opportunities
• Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility

This page was built for publication: Dynamic derivative strategies with stochastic interest rates and model uncertainty