Robust Portfolio Choice with Uncertainty About Jump and Diffusion Risk

By Nicole Branger, Linda Sandris Larsen. 2013

111 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/170fb670b37f78d85ad149a01536ac3478e630ad

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In Finance

1. Ailing Gu
2. Danping Li
3. Yan Zeng
4. Zhongfei Li
5. Yang Shen

Citations in the corpus

• Robust equilibrium reinsurance-investment strategy for a mean–variance insurer in a model with jumps (2016, background): “As is mentioned in Branger and Larsen (2013) and Aït-Sahalia and Matthys (2014), there are pronounced differences between ambiguity aversion with respect to (w.r.t.) diffusion and jump risks.”