Robust Portfolio Choice and Indifference Valuation
نویسندگان
چکیده
منابع مشابه
Robust Portfolio Choice and Indifference Valuation
We solve, theoretically and numerically, the problems of optimal portfolio choice and indifference valuation in a general continuous-time setting. The setting features (i) ambiguity and ambiguity averse preferences, (ii) discontinuities in the asset price processes, with a general and possibly infinite activity jump part next to a continuous diffusion part, and (iii) general and possibly non-co...
متن کاملRobust Portfolio Choice and Indifference
We solve, theoretically and numerically, the problems of optimal portfolio choice and indifference valuation in a general continuous-time setting. The setting features (i) ambiguity and ambiguity averse preferences, (ii) discontinuities in the asset price processes, with a general and possibly infinite activity jump part next to a continuous diffusion part, and (iii) general and possibly non-co...
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Financial markets offer a variety of financial positions. The net result of such a position at the end of the trading period is uncertain, and it may thus be viewed as a real-valued function X on the set of possible scenarios. The problem of portfolio choice consists in choosing, among all the available positions, a position which is affordable given the investor’s wealth w, and which is optima...
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Dichotomous choice (or Referendum) contingent valuation surveys have become the predominate choice for valuing goods and services otherwise not valued in a standard market (nonmarket goods and services). A number of researchers have recently recommended that dichotomous choice contingent valuation studies include a follow-up question to all no responses to determine whether the no response is a...
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ژورنال
عنوان ژورنال: Mathematics of Operations Research
سال: 2014
ISSN: 0364-765X,1526-5471
DOI: 10.1287/moor.2014.0646