Portfolio management with stochastic interest rates and inflation ambiguity
From MaRDI portal
(Redirected from Publication:481372)
Recommendations
- Robust portfolio choice with stochastic interest rates
- An investor's optimal portfolio with rare events and model uncertainty under inflation
- Robust portfolio choice for a DC pension plan with inflation risk and mean-reverting risk premium under ambiguity
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- Robust portfolio optimization under stochastic interest rate and stochastic volatility framework
Cites work
- scientific article; zbMATH DE number 1546925 (Why is no real title available?)
- A Stochastic Control Approach to Portfolio Problems with Stochastic Interest Rates
- An equilibrium characterization of the term structure
- Dynamic portfolio choice under ambiguity and regime switching mean returns
- OPTIMAL CONSUMPTION AND PORTFOLIO DECISIONS WITH PARTIALLY OBSERVED REAL PRICES
- Optimal Annuity Risk Management*
- Optimal investment under partial information
- Optimal portfolio-consumption choice under stochastic inflation with nominal and indexed bonds
- Optimal trading strategy for an investor: the case of partial information
- Optimum consumption and portfolio rules in a continuous-time model
- Portfolio choices and asset prices: the comparative statics of ambiguity aversion
- Risk, ambiguity and the Savage axioms
- Robust consumption and portfolio choice for time varying investment opportunities
- Robust portfolio choice with stochastic interest rates
- Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium
- The Role of Learning in Dynamic Portfolio Decisions *
- UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET
Cited in
(34)- 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
- Estimated inflation rate, consumption and portfolio decision
- Dynamic derivative strategies with stochastic interest rates and model uncertainty
- 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 equilibrium control-measure policy for a DC pension plan with state-dependent risk aversion under mean-variance criterion
- Robust portfolios with commodities and stochastic interest rates
- scientific article; zbMATH DE number 5952229 (Why is no real title available?)
- Robust portfolio choice with stochastic interest rates
- 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
- Portfolio decision with a quadratic utility and inflation risk
- Optimal reinsurance pricing with ambiguity aversion and relative performance concerns in the principal-agent model
- Robust optimal insurance and investment strategies for the government and the insurance company under mispricing phenomenon
- Dynamic portfolio selection with mispricing and model ambiguity
- Robust retirement and life insurance with inflation risk and model ambiguity
- 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
- A new approach to the rational expectations equilibrium: existence, optimality and incentive compatibility
- Robust optimal investment strategies for mean-variance asset-liability management under 4/2 stochastic volatility models
- Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity
- Optimal investment in multidimensional Markov-modulated affine models
- 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
This page was built for publication: Portfolio management with stochastic interest rates and inflation ambiguity
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q481372)
