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Optimal consumption and portfolio choice with ambiguous interest rates and volatility
16 references·0 citing·39 second hop
Optimal consumption and portfolio choice with ambiguous interest rates and volatility (2020)Optimal consumption and portfolio choice …Portfolio Selection in Stochastic Environments (2006)Portfolio Selection in Stocha…Ambiguity Aversion, Robustness, and the Variational Representation of Preferences (2006)Ambiguity Aversion, Robustnes…The Model-Free Implied Volatility and Its Information Content (2005)The Model-Free Implied Volati…Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets (2005)Dynamic Consumption and Portf…Robust Portfolio Rules and Asset Pricing (2004)Robust Portfolio Rules and As…Recursive multiple-priors (2003)Recursive multiple-priorsA Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection (2003)A Quartet of Semigroups for M…Convex measures of risk and trading constraints (2002)Convex measures of risk and t…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…Investing for the Long Run when Returns Are Predictable (2000)Investing for the Long Run wh…Continuous Martingales and Brownian Motion (1999)Continuous Martingales and Br…Coherent Measures of Risk (1999)Coherent Measures of RiskUncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio (1992)Uncertainty Aversion, Risk Av…Maxmin expected utility with non-unique prior (1989)Maxmin expected utility with …Optimum consumption and portfolio rules in a continuous-time model (1971)Optimum consumption and portf…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Risk, Ambiguity, and the Savage Axioms (1961)Subjective Probability and Expected Utility without Additivity (1989)Cognitive skills affect economic preferences, strategic behavior, and job attachment (2009)Theory of Decision under Uncertainty (2009)Theory and Applications of Robust Optimization (2010)The Pricing of Options and Corporate Liabilities (1973)Specification Tests in Econometrics (1978)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Explaining Credit Default Swap Spreads with the Equity Volatility and Jump Risks of Individual Firms (2009)What's Vol Got to Do with It (2010)Tails, Fears, and Risk Premia (2011)Aspects of the Theory of Risk-Bearing. (1966)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Lifetime Portfolio Selection By Dynamic Stochastic Programming (1969)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Utility Theory for Decision Making (1971)Recent developments in modeling preferences: Uncertainty and ambiguity (1992)Chapter 18 A survey of behavioral finance (2003)A Smooth Model of Decision Making under Ambiguity (2005)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Robust Control and Model Uncertainty (2001)Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Ambiguity, Information Quality, and Asset Pricing (2008)An Intertemporal Capital Asset Pricing Model (1973)Business conditions and expected returns on stocks and bonds (1989)Consumption and Portfolio Decisions when Expected Returns are Time Varying (1999)Strategic Asset Allocation (2002)The Dog That Did Not Bark: A Defense of Return Predictability (2007)Backward Stochastic Differential Equations in Finance (1997)The Variance Gamma Process and Option Pricing (1998)A General Version of the Fundamental Theorem of Asset Pricing (1994) (2008)Conditional value-at-risk for general loss distributions (2002)Modeling and Forecasting Realized Volatility (2003)Putting order in risk measures (2002)Distributionally Robust Optimization and Its Tractable Approximations (2010)Distributionally Robust Convex Optimization (2014)
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References

  • 1999Coherent Measures of Risk8,849 cited
  • 1999Continuous Martingales and Brownian Motion6,200 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1989Maxmin expected utility with non-unique prior4,063 cited
  • 2002Convex measures of risk and trading constraints1,452 cited
  • 2000Investing for the Long Run when Returns Are Predictable1,372 cited
  • 2006Ambiguity Aversion, Robustness, and the Variational Representation of Preferences1,139 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2005The Model-Free Implied Volatility and Its Information Content1,012 cited
  • 2003Recursive multiple-priors868 cited
  • 2004Robust Portfolio Rules and Asset Pricing784 cited
  • 1992Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio776 cited
  • 2006Portfolio Selection in Stochastic Environments660 cited
  • 2003A Quartet of Semigroups for Model Specification, Robustness, Prices of Risk, and Model Detection635 cited
  • 2005

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Dynamic Consumption and Portfolio Choice with Stochastic Volatility in Incomplete Markets
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