Alpha as ambiguity: robust mean-variance portfolio analysis
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Publication:2857583
DOI10.3982/ECTA9678zbMATH Open1274.91147OpenAlexW3122121999MaRDI QIDQ2857583FDOQ2857583
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- Robust utility maximization of terminal wealth with drift and volatility uncertainty
- Smart Alpha: active management with unstable and latent factors
- Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data
- Optimal insurance design of ambiguous risks
- Crisp monetary acts in multiple-priors models of decision under ambiguity
- Understanding dynamic mean variance asset allocation
- A simple robust asset pricing model under statistical ambiguity
- Optimal portfolio with vector expected utility
- Dynamic currency hedging with non-Gaussianity and ambiguity
- A theoretical foundation of ambiguity measurement
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Ambiguity premium and transaction costs
- Belief hedges: Measuring ambiguity for all events and all models
- Decreasing aversion under ambiguity
- Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
- Beyond uncertainty aversion
- Time-consistency of optimal investment under smooth ambiguity
- Optimal Portfolio Choice Based on α-MEU Under Ambiguity
- A volatility smile-based uncertainty index
- TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES
- Decision analysis under ambiguity
- Expected utility with uncertain probabilities theory
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Decision making in phantom spaces
- Portfolio selections under mean-variance preference with multiple priors for means and variances
- Observational equivalence and nonequivalence of subjective and robust mean-variance preferences
- Portfolio allocation problems between risky and ambiguous assets
- The robust Merton problem of an ambiguity averse investor
- The price for information about probabilities and its relation with risk and ambiguity
- The impact of ambiguity and prudence on prevention decisions
- Equilibrium in an ambiguity-averse mean-variance investors market
- Portfolio concentration, portfolio inertia, and ambiguous correlation
- Ambiguity and informativeness of (non-)trading
- An additive model of decision making under risk and ambiguity
- Risk aversion and the value of diagnostic tests
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