Robust portfolio choice with stochastic interest rates
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Cites work
- scientific article; zbMATH DE number 1790587 (Why is no real title available?)
- A Smooth Model of Decision Making under Ambiguity
- A YIELD‐FACTOR MODEL OF INTEREST RATES
- An equilibrium characterization of the term structure
- Maxmin expected utility with non-unique prior
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- Recursive multiple-priors.
- Risk aversion and allocation to long-term bonds.
- Risk, ambiguity and the Savage axioms
- Robust Permanent Income and Pricing
- Robust consumption and portfolio choice for time varying investment opportunities
- Robust portfolio optimization with a generalized expected utility model under ambiguity
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- Stochastic Interest Rates and the Bond-Stock Mix
- Stochastic differential equations. An introduction with applications.
- The costs of suboptimal dynamic asset allocation: general results and applications to interest rate risk, stock volatility risk, and growth/value tilts
Cited in
(49)- Robust optimal consumption-investment strategy with non-exponential discounting
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- Model uncertainty on commodity portfolios, the role of convenience yield
- Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- Alpha-robust mean-variance reinsurance and investment strategies with transaction costs
- Robust portfolio optimization with multi-factor stochastic volatility
- Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
- Robust Preferences and Robust Portfolio Choice
- Optimal pension fund management under risk and uncertainty: the case study of Poland
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Stock return uncertainty and life insurance
- Robust portfolios with commodities and stochastic interest rates
- scientific article; zbMATH DE number 5952229 (Why is no real title available?)
- Life-cycle planning with ambiguous economics and mortality risks
- Robust portfolio optimization: a categorized bibliographic review
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Stochastic Interest Rates and the Bond-Stock Mix
- A note on the worst case approach for a market with a stochastic interest rate
- Portfolio liquidation under factor uncertainty
- Robust portfolio choice under the interest rate uncertainty
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity
- Robust consumption and portfolio choice with derivatives trading
- Robust optimal investment strategy for an AAM of DC pension plans with stochastic interest rate and stochastic volatility
- Optimal reinsurance to minimize the discounted probability of ruin under ambiguity
- Robust optimal excess-of-loss reinsurance and investment strategy for an insurer in a model with jumps
- How suboptimal are linear sharing rules?
- Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause
- Robust optimal investment and reinsurance for an insurer with inside information
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Robust stock and bond allocation with end-of-horizon effects
- Dynamic asset allocation with uncertain jump risks: a pathwise optimization approach
- Robust portfolio optimization under stochastic interest rate and stochastic volatility framework
- Robust optimal dynamic reinsurance policies under the mean-RVaR premium principle
- Portfolio management with stochastic interest rates and inflation ambiguity
- Robust asset-liability management under CRRA utility criterion with regime switching: a continuous-time model
- Optimal portfolio selection of mean-variance utility with stochastic interest rate
- Uncertainty and inside information
- Optimal investment in multidimensional Markov-modulated affine models
- Dynamic portfolio strategies under a fully correlated jump-diffusion process
- Optimal strategies for an ambiguity-averse insurer under a jump-diffusion model and defaultable risk
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
- The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment
- Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
- Robust portfolio decisions for financial institutions
- Robust optimal reinsurance-investment strategy with extrapolative bias premiums and ambiguity aversion
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