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Robust portfolio choice with uncertainty about jump and diffusion risk

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  1. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2020. "Robust Portfolio Optimization with Multi-Factor Stochastic Volatility," Journal of Optimization Theory and Applications, Springer, vol. 186(1), pages 264-298, July.
  2. Yaoting Lei & Ya Li & Jing Xu, 2020. "Two Birds, One Stone: Joint Timing of Returns and Capital Gains Taxes," Management Science, INFORMS, vol. 66(2), pages 823-843, February.
  3. Shuang Li & Haijun Wang, 2023. "Robust irreversible investment strategy with ambiguity to jump and diffusion risk," International Review of Finance, International Review of Finance Ltd., vol. 23(3), pages 645-665, September.
  4. Castañeda, Pablo & Reus, Lorenzo, 2019. "Suboptimal investment behavior and welfare costs: A simulation based approach," Finance Research Letters, Elsevier, vol. 30(C), pages 170-180.
  5. Horst, Ulrich & Xia, Xiaonyu & Zhou, Chao, 2021. "Portfolio Liquidation under Factor Uncertainty," Rationality and Competition Discussion Paper Series 274, CRC TRR 190 Rationality and Competition.
  6. Zhao, Hui & Shen, Yang & Zeng, Yan & Zhang, Wenjun, 2019. "Robust equilibrium excess-of-loss reinsurance and CDS investment strategies for a mean–variance insurer with ambiguity aversion," Insurance: Mathematics and Economics, Elsevier, vol. 88(C), pages 159-180.
  7. Li, Bin & Li, Danping & Xiong, Dewen, 2016. "Alpha-robust mean-variance reinsurance-investment strategy," Journal of Economic Dynamics and Control, Elsevier, vol. 70(C), pages 101-123.
  8. Wujun Lv & Tao Pang & Xiaobao Xia & Jingzhou Yan, 2023. "Dynamic portfolio choice with uncertain rare-events risk in stock and cryptocurrency markets," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 9(1), pages 1-28, December.
  9. Feng, Yang & Siu, Tak Kuen & Zhu, Jinxia, 2024. "Optimal payout strategies when Bruno de Finetti meets model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 116(C), pages 148-164.
  10. Sun, Jingyun & Yao, Haixiang & Kang, Zhilin, 2019. "Robust optimal investment–reinsurance strategies for an insurer with multiple dependent risks," Insurance: Mathematics and Economics, Elsevier, vol. 89(C), pages 157-170.
  11. Zeng, Yan & Li, Danping & Chen, Zheng & Yang, Zhou, 2018. "Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility," Journal of Economic Dynamics and Control, Elsevier, vol. 88(C), pages 70-103.
  12. Junhe Chen & Marcos Escobar-Anel, 2021. "Model uncertainty on commodity portfolios, the role of convenience yield," Annals of Finance, Springer, vol. 17(4), pages 501-528, December.
  13. Mengge Li & Shuaijie Qian & Chao Zhou, 2023. "Robust Equilibrium Strategy for Mean-Variance Portfolio Selection," Papers 2305.07166, arXiv.org, revised May 2023.
  14. Stan Olijslagers & Sweder van Wijnbergen, 2019. "Discounting the Future: on Climate Change, Ambiguity Aversion and Epstein-Zin Preferences," Tinbergen Institute Discussion Papers 19-030/VI, Tinbergen Institute.
  15. Yuanping Wang & Yingjie Niu & Siwen Gong, 2022. "Robust consumption policy with the desire for wealth accumulation," Review of Economics of the Household, Springer, vol. 20(3), pages 993-1025, September.
  16. Zeng, Yan & Li, Danping & Gu, Ailing, 2016. "Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 138-152.
  17. He, Yong & Zhou, Xia & Chen, Peimin & Wang, Xiaoyang, 2022. "An analytical solution for the robust investment-reinsurance strategy with general utilities," The North American Journal of Economics and Finance, Elsevier, vol. 63(C).
  18. Peng, Xingchun & Chen, Fenge & Wang, Wenyuan, 2021. "Robust optimal investment and reinsurance for an insurer with inside information," Insurance: Mathematics and Economics, Elsevier, vol. 96(C), pages 15-30.
  19. Shilin Li & Jinqiang Yang & Siqi Zhao, 2022. "Robust leverage dynamics without commitment," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 74(2), pages 643-679, September.
  20. Kexin Chen & Kyunghyun Park & Hoi Ying Wong, 2024. "Robust dividend policy: Equivalence of Epstein-Zin and Maenhout preferences," Papers 2406.12305, arXiv.org.
  21. Yan, Jingzhou & Mu, Congming & Yan, Qianhui & Luo, Deqing, 2023. "Robust leverage choice of hedge funds with rare disasters," Finance Research Letters, Elsevier, vol. 54(C).
  22. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2015. "Robust portfolio choice with derivative trading under stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 142-157.
  23. Ben-Zhang Yang & Xiaoping Lu & Guiyuan Ma & Song-Ping Zhu, 2019. "Robust portfolio optimization with multi-factor stochastic volatility," Papers 1910.06872, arXiv.org, revised Jun 2020.
  24. Chen, Zhiping & Yang, Peng, 2020. "Robust optimal reinsurance–investment strategy with price jumps and correlated claims," Insurance: Mathematics and Economics, Elsevier, vol. 92(C), pages 27-46.
  25. Yan Zhang & Peibiao Zhao & Rufei Ma, 2022. "Robust Optimal Excess-of-Loss Reinsurance and Investment Problem with more General Dependent Claim Risks and Defaultable Risk," Methodology and Computing in Applied Probability, Springer, vol. 24(4), pages 2743-2777, December.
  26. Mu, Congming & Yan, Jingzhou & Liang, Zhian, 2021. "Optimal risk taking under high-water mark contract with jump risk," Finance Research Letters, Elsevier, vol. 38(C).
  27. Gu, Ailing & Viens, Frederi G. & Yi, Bo, 2017. "Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 235-249.
  28. Wei, Pengyu & Yang, Charles & Zhuang, Yi, 2023. "Robust consumption and portfolio choice with derivatives trading," European Journal of Operational Research, Elsevier, vol. 304(2), pages 832-850.
  29. He, Yong & Luouyang, Xueqi & He, Lin & Chen, Haiyan & Li, Sheng, 2024. "Non-zero-sum investment-reinsurance game with delay and ambiguity aversion," The North American Journal of Economics and Finance, Elsevier, vol. 73(C).
  30. Xing Jin & Dan Luo & Xudong Zeng, 2021. "Tail Risk and Robust Portfolio Decisions," Management Science, INFORMS, vol. 67(5), pages 3254-3275, May.
  31. Ulrich Horst & Xiaonyu Xia & Chao Zhou, 2019. "Portfolio liquidation under factor uncertainty," Papers 1909.00748, arXiv.org.
  32. Wang, Yuanping & Mu, Congming, 2019. "Can ambiguity about rare disasters explain equity premium puzzle?," Economics Letters, Elsevier, vol. 183(C), pages 1-1.
  33. Lu Yang & Chengke Zhang & Huainian Zhu, 2022. "Robust Stochastic Stackelberg Differential Reinsurance and Investment Games for an Insurer and a Reinsurer with Delay," Methodology and Computing in Applied Probability, Springer, vol. 24(1), pages 361-384, March.
  34. Marcos Escobar-Anel & Harold A. Moreno-Franco, 2019. "Dynamic portfolio strategies under a fully correlated jump-diffusion process," Annals of Finance, Springer, vol. 15(3), pages 421-453, September.
  35. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2018. "Dynamic derivative strategies with stochastic interest rates and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 49-71.
  36. Wang, Ning & Siu, Tak Kuen, 2024. "Investment–consumption optimization with transaction cost and learning about return predictability," European Journal of Operational Research, Elsevier, vol. 318(3), pages 877-891.
  37. Feng, Yang & Zhu, Jinxia & Siu, Tak Kuen, 2021. "Optimal risk exposure and dividend payout policies under model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 1-29.
  38. Xing Jin & Xudong Zeng, 2018. "Dynamic Asset Allocation with Uncertain Jump Risks: A Pathwise Optimization Approach," Mathematics of Operations Research, INFORMS, vol. 43(2), pages 347-376, May.
  39. Li, Danping & Young, Virginia R., 2019. "Optimal reinsurance to minimize the discounted probability of ruin under ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 87(C), pages 143-152.
  40. Hu, Duni & Chen, Shou & Wang, Hailong, 2018. "Robust reinsurance contracts with uncertainty about jump risk," European Journal of Operational Research, Elsevier, vol. 266(3), pages 1175-1188.
  41. Wei Wang & Qianyan Li & Quan Li & Song Xu, 2023. "Robust Optimal Investment Strategies with Exchange Rate Risk and Default Risk," Mathematics, MDPI, vol. 11(6), pages 1-17, March.
  42. Ma, Jinrun & Wu, Yaoyao & Liang, Yongtang, 2023. "Robust investment and hedging policy with limited commitment," Economic Modelling, Elsevier, vol. 125(C).
  43. Zheng, Xiaoxiao & Zhou, Jieming & Sun, Zhongyang, 2016. "Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 77-87.
  44. Congming Mu & Jingzhou Yan & Jinqiang Yang, 2023. "Robust risk choice under high-water mark contract," Review of Quantitative Finance and Accounting, Springer, vol. 61(1), pages 295-322, July.
  45. Qiang Zhang & Qianqian Cui, 2024. "Robust Investment and Proportional Reinsurance Strategy with Delay and Jumps in a Stochastic Stackelberg Differential Game," Methodology and Computing in Applied Probability, Springer, vol. 26(4), pages 1-34, December.
  46. Bo Yi & Frederi Viens & Baron Law & Zhongfei Li, 2015. "Dynamic portfolio selection with mispricing and model ambiguity," Annals of Finance, Springer, vol. 11(1), pages 37-75, February.
  47. Motoh Tsujimura & Hidekazu Yoshioka, 2023. "A robust consumption model when the intensity of technological progress is ambiguous," Mathematics and Financial Economics, Springer, volume 17, number 2, February.
  48. Hu, Duni & Wang, Hailong, 2019. "Reinsurance contract design when the insurer is ambiguity-averse," Insurance: Mathematics and Economics, Elsevier, vol. 86(C), pages 241-255.
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