Dynamic portfolio selection with mispricing and model ambiguity
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Publication:2018555
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Cites work
- scientific article; zbMATH DE number 49106 (Why is no real title available?)
- scientific article; zbMATH DE number 192908 (Why is no real title available?)
- scientific article; zbMATH DE number 1153603 (Why is no real title available?)
- scientific article; zbMATH DE number 1546925 (Why is no real title available?)
- Continuous Markov processes and stochastic equations
- On the verification theorem of dynamic portfolio-consumption problems with stochastic market price of risk
- Portfolio management with stochastic interest rates and inflation ambiguity
- 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
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
- Optimal robust reinsurance-investment strategies for insurers with mean reversion and mispricing
- Cost-efficient monitoring of continuous-time stochastic processes based on discrete observations
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility
- Dynamic Portfolio Selection Under Ambiguity in the $$\epsilon $$-Contaminated Binomial Model
- 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
- Optimal investment in multidimensional Markov-modulated affine models
- Reinsurance contract design when the insurer is ambiguity-averse
- Dynamic portfolio selection with market impact costs
- Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
- Age-dependent robust strategic asset allocation with inflation-deflation hedging demand
- 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
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