Dynamic portfolio selection with mispricing and model ambiguity

DOI10.1007/S10436-014-0252-YzbMATH Open1311.91176OpenAlexW2054758569MaRDI QIDQ2018555FDOQ2018555

Authors: Bo Yi, Frederi Viens, Baron Law, Zhongfei Li 

Publication date: 24 March 2015

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-014-0252-y

Recommendations

• Optimal portfolio strategies with mispricing and stochastic volatility
• Good deals and benchmarks in robust portfolio selection
• Continuous-time portfolio selection under ambiguity
• Portfolio diversification and model uncertainty: A robust dynamic mean‐variance approach
• Ambiguity in portfolio selection

zbMATH Keywords

portfolio selectionrobust controlutility maximizationmodel ambiguitymispricingstochastic risk premium

Mathematics Subject Classification ID

Portfolio theory (91G10)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Title not available (Why is that?)
• Risk minimizing portfolios and HJBI equations for stochastic differential games
• Robust consumption and portfolio choice for time varying investment opportunities
• Robust optimal control for an insurer with reinsurance and investment under Heston's stochastic volatility model
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
• Title not available (Why is that?)
• Continuous Markov processes and stochastic equations
• Portfolio management with stochastic interest rates and inflation ambiguity
• On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk

Cited In (23)

• Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity
• Optimal reinsurance–investment policies for insurers with mispricing under mean-variance criterion
• Robust asset-liability management games for \(n\) players under multivariate stochastic covariance models
• Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
• Time-consistent reinsurance-investment games for multiple mean-variance insurers with mispricing and default risks
• Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
• Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
• Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
• Dynamic Portfolio Selection Under Ambiguity in the $$\epsilon $$-Contaminated Binomial Model
• A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility
• Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
• Robust optimal investment strategy for a DC pension plan in the market with mispricing and constant elasticity of variance
• A mispricing model of stocks under asymmetric information
• Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
• Reinsurance contract design when the insurer is ambiguity-averse
• Optimal investment in multidimensional Markov-modulated affine models
• Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
• Age-dependent robust strategic asset allocation with inflation-deflation hedging demand
• Dynamic portfolio selection with market impact costs
• A simple robust asset pricing model under statistical ambiguity
• Optimal portfolios for the DC pension fund with mispricing under the HARA utility framework
• Optimal portfolio strategies with mispricing and stochastic volatility
• Robust reinsurance contracts in continuous time

This page was built for publication: Dynamic portfolio selection with mispricing and model ambiguity

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2018555)