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Model Uncertainty And Scenario Aggregation

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  • Mathieu Cambou
  • Damir Filipović

Abstract

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Suggested Citation

  • Mathieu Cambou & Damir Filipović, 2017. "Model Uncertainty And Scenario Aggregation," Mathematical Finance, Wiley Blackwell, vol. 27(2), pages 534-567, April.
    • Handle: RePEc:bla:mathfi:v:27:y:2017:i:2:p:534-567
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    File URL: http://hdl.handle.net/10.1111/mafi.2017.27.issue-2
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    Citations

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    Cited by:

    1. Kerem Ugurlu, 2019. "Robust Utility Maximization with Drift and Volatility Uncertainty," Papers 1909.05335, arXiv.org.
    2. Ruodu Wang & Johanna F. Ziegel, 2018. "Scenario-based Risk Evaluation," Papers 1808.07339, arXiv.org, revised May 2021.
    3. Makam, Vaishno Devi & Millossovich, Pietro & Tsanakas, Andreas, 2021. "Sensitivity analysis with χ2-divergences," Insurance: Mathematics and Economics, Elsevier, vol. 100(C), pages 372-383.
    4. Tolulope Fadina & Yang Liu & Ruodu Wang, 2021. "A Framework for Measures of Risk under Uncertainty," Papers 2110.10792, arXiv.org, revised Sep 2023.
    5. Silvana M. Pesenti, 2021. "Reverse Sensitivity Analysis for Risk Modelling," Papers 2107.01065, arXiv.org, revised May 2022.
    6. Kerem Ugurlu, 2018. "Portfolio Optimization with Nondominated Priors and Unbounded Parameters," Papers 1807.05773, arXiv.org.
    7. Ruodu Wang & Johanna F. Ziegel, 2021. "Scenario-based risk evaluation," Finance and Stochastics, Springer, vol. 25(4), pages 725-756, October.
    8. Jie Shen & Yi Shen & Bin Wang & Ruodu Wang, 2019. "Distributional compatibility for change of measures," Finance and Stochastics, Springer, vol. 23(3), pages 761-794, July.
    9. Lotfi Boudabsa & Damir Filipović, 2022. "Machine learning with kernels for portfolio valuation and risk management," Finance and Stochastics, Springer, vol. 26(2), pages 131-172, April.
    10. Lotfi Boudabsa & Damir Filipovi'c, 2022. "Ensemble learning for portfolio valuation and risk management," Papers 2204.05926, arXiv.org.
    11. Mathieu Cambou & Damir Filipović, 2018. "Replicating portfolio approach to capital calculation," Finance and Stochastics, Springer, vol. 22(1), pages 181-203, January.
    12. Kroell, Emma & Pesenti, Silvana M. & Jaimungal, Sebastian, 2024. "Stressing dynamic loss models," Insurance: Mathematics and Economics, Elsevier, vol. 114(C), pages 56-78.
    13. Pesenti, Silvana M. & Millossovich, Pietro & Tsanakas, Andreas, 2019. "Reverse sensitivity testing: What does it take to break the model?," European Journal of Operational Research, Elsevier, vol. 274(2), pages 654-670.
    14. Xia Han & Ruodu Wang & Qinyu Wu, 2023. "Monotonic mean-deviation risk measures," Papers 2312.01034, arXiv.org, revised Aug 2024.

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