Portfolio management with stochastic interest rates and inflation ambiguity
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Publication:481372
DOI10.1007/S10436-013-0238-1zbMATH Open1336.91070OpenAlexW2123488901MaRDI QIDQ481372FDOQ481372
Authors: Claus Munk, A. N. Rubtsov 
Publication date: 12 December 2014
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: http://math.au.dk/publs?publid=970
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Cited In (34)
- Title not available (Why is that?)
- Robust equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Robust portfolio choice with stochastic interest rates
- Portfolio liquidation under factor uncertainty
- Robust multivariate portfolio choice with stochastic covariance in the presence of ambiguity
- Robust optimal asset-liability management with mispricing and stochastic factor market dynamics
- Robust optimal strategies for an insurer under generalized mean-variance premium principle with defaultable bond
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Robust portfolios with commodities and stochastic interest rates
- 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
- Robust portfolio choice for a defined contribution pension plan with stochastic income and interest rate
- Robust equilibrium reinsurance-investment strategy for a mean-variance insurer in a model with jumps
- Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
- Robust optimal investment and reinsurance for an insurer with inside information
- Risk Sensitive Portfolio Management with Cox--Ingersoll--Ross Interest Rates: The HJB Equation
- Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- Estimated inflation rate, consumption and portfolio decision
- Model uncertainty on commodity portfolios, the role of convenience yield
- Stochastic Interest Rates and the Bond-Stock Mix
- A note on the worst case approach for a market with a stochastic interest rate
- Optimal investment in multidimensional Markov-modulated affine models
- Age-dependent robust strategic asset allocation with inflation-deflation hedging demand
- Reinsurance contracts under Stackelberg game and market equilibrium
- Robust optimal asset-liability management under square-root factor processes and model ambiguity: a BSDE approach
- Robust optimal investment strategy of DC pension plans with stochastic salary and a return of premiums clause
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- The optimal investment-reinsurance strategies for ambiguity aversion insurer in uncertain environment
- Dynamic portfolio selection with mispricing and model ambiguity
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- Robust optimal consumption-investment strategy with non-exponential discounting
- Robust retirement and life insurance with inflation risk and model ambiguity
- Portfolio decision with a quadratic utility and inflation risk
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