Robust Portfolio Rules and Asset Pricing
By Pascal J. Maenhout. 2004
758 citations recorded by the source corpus.
Subfields: Economics and Econometrics, Finance
View Paper: https://www.semanticscholar.org/paper/0911a4ac30e0575e347b60c540218507ceb49933
How researchers see this paper
The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.
In Economics and Econometrics
- Massimo Guidolin
- F. Rinaldi
- Timothy Cogley
- Raman Uppal
- Thomas J. Sargent
- Zhongfei Li
- Yan Zeng
- Eric Ghysels
In Finance
- Massimo Guidolin
- F. Rinaldi
- Raman Uppal
- Alois Pichler
- Zhongfei Li
- Timothy Cogley
- David Wozabal
- Georg Ch. Pflug
Citations in the corpus
- Exotic Preferences for Macroeconomists (2004, background): “Gianonni (2002), Maenhout (2004), Onatski and Williams (2003), and Van Nieuwerburgh (2001) are interesting applications.”
- Robust non-zero-sum stochastic differential reinsurance game (2016, methodology): “To clarify the meaning of “similar” here, we employ the concept of equivalent measures, analogous to Maenhout (2004), Yi et al.”
- Uncertainty, Information Acquisition and Price Swings in Asset Markets (2015, background): “The literature on the impact of Knightian uncertainty and ambiguity aversion on asset prices is expanding at a fast pace (e.g., Epstein and Wang, 1994, 1995; Maenhout, 2004; Cao, Wang and Zhang, 2005; Leippold, Trojani and Vanini, 2007; Anderson, Ghysels and Juergens, 2007; Epstein and Schneider, ”
- Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk (2013, neutral): “In particular, we follow Maenhout (2004) and set”
- COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS (2005, neutral): “The robust control framework can be linked to the stochastic differential utility of Duffie and Epstein (1992); see Maenhout (2004), Hansen et al. (2001), and Skiadas (2003).”
- Psychology-based Models of Asset Prices and Trading Volume (2018, background): “Over the past century, the average return of the U.S. stock market has exceeded the average return of Treasury Bills by over 5% per year.”
- Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursiv (2003, neutral): “and Maenhout (1999) , via a utility equivalence result by Skiadas (2003).”
- A Stochastic Control Approach to a Robust Utility Maximization Problem (2007, background): “The related paper [14] studies (also via formal HJB analysis) a problem where the penalization parameter β is allowed to depend on V ; this is also briefly discussed in [21].”