Dynamic currency hedging with non-Gaussianity and ambiguity

DOI10.1080/14697688.2023.2301419MaRDI QIDQ6546319zbMATH OpenWikidataFDO

Authors Paweł Polak, Urban Ulrych

Publication date 29 May 2024

Published in Quantitative Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1080/14697688.2023.2301419

Mathematics Subject Classification ID

Actuarial science and mathematical finance (91G99)

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Cites work

• A Smooth Model of Decision Making under Ambiguity
• Alpha as ambiguity: robust mean-variance portfolio analysis
• Analytical nonlinear shrinkage of large-dimensional covariance matrices
• COMFORT: a common market factor non-Gaussian returns model
• GARCH models. Structure, statistical inference and financial applications
• scientific article; zbMATH DE number 1390900 (Why is no real title available?)
• Hyperbolic distributions in finance
• Quantitative risk management. Concepts, techniques and tools
• Regime switching dynamic correlations for asymmetric and fat-tailed conditional returns
• Sparse and stable Markowitz portfolios
• Subjective Probability and Expected Utility without Additivity
• The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach
• The Variance Gamma Process and Option Pricing
• Uncertainty aversion with second-order utilities and probabilities

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