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Paolo Vanini

Citations

Many of the citations below have been collected in an experimental project, CitEc, where a more detailed citation analysis can be found. These are citations from works listed in RePEc that could be analyzed mechanically. So far, only a minority of all works could be analyzed. See under "Corrections" how you can help improve the citation analysis.

Working papers

  1. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen.

    Cited by:

    1. Ian Dew-Becker & Rhys Bidder, 2015. "Long-Run Risk is the Worst-Case Scenario," 2015 Meeting Papers 490, Society for Economic Dynamics.
    2. Nengjiu Ju & Jianjun Miao, "undated". "Ambiguity, Learning, and Asset Returns," Boston University - Department of Economics - Working Papers Series wp2009-014, Boston University - Department of Economics.
    3. Kenneth J. Singleton, 2021. "Presidential Address: How Much “Rationality” Is There in Bond‐Market Risk Premiums?," Journal of Finance, American Finance Association, vol. 76(4), pages 1611-1654, August.
    4. Li, George, 2008. "Aggregate stock market behavior and investors' low risk aversion," Journal of Economic Dynamics and Control, Elsevier, vol. 32(7), pages 2349-2369, July.
    5. Brice Corgnet & Roberto Hernán-Gonzalez & Praveen Kujal, 2018. "On Booms That Never Bust: Ambiguity in Experimental Asset Markets with Bubbles," Working Papers halshs-01898435, HAL.
    6. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
    7. Pataracchia, B., 2013. "Ambiguity aversion and heterogeneity in financial markets : An empirical and theoretical perspective," Other publications TiSEM bc849a3c-87a4-4718-b049-f, Tilburg University, School of Economics and Management.
    8. Beber, Alessandro & Breedon, Francis & Buraschi, Andrea, 2010. "Differences in beliefs and currency risk premiums," Journal of Financial Economics, Elsevier, vol. 98(3), pages 415-438, December.
    9. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    10. Christoph Bühren & Fabian Meier & Marco Pleßner, 2023. "Ambiguity aversion: bibliometric analysis and literature review of the last 60 years," Management Review Quarterly, Springer, vol. 73(2), pages 495-525, June.
    11. Bassanin, Marzio & Faia, Ester & Patella, Valeria, 2021. "Ambiguity attitudes and the leverage cycle," Journal of International Economics, Elsevier, vol. 129(C).
    12. Bakshi, Gurdip & Skoulakis, Georgios, 2010. "Do subjective expectations explain asset pricing puzzles?," Journal of Financial Economics, Elsevier, vol. 98(3), pages 462-477, December.
    13. Füllbrunn, Sascha & Rau, Holger A. & Weitzel, Utz, 2014. "Does ambiguity aversion survive in experimental asset markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 810-826.
    14. Zhang, Jian & Kong, Dongmin & Liu, Hening & Wu, Ji, 2019. "Asset pricing with time varying pessimism and rare disasters," International Review of Economics & Finance, Elsevier, vol. 60(C), pages 165-175.
    15. Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
    16. Hui Chen & Nengjiu Ju & Jianjun Miao, 2014. "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
    17. Corgnet, Brice & Kujal, Praveen & Porter, David, 2010. "Reaction to public information in asset markets: does ambiguity matter?," UC3M Working papers. Economics we1025, Universidad Carlos III de Madrid. Departamento de Economía.
    18. Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012. "No good deals—no bad models," Staff Reports 589, Federal Reserve Bank of New York.
    19. Guo, Liang, 2013. "Determinants of credit spreads: The role of ambiguity and information uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 279-297.
    20. Nina Boyarchenko, 2009. "Ambiguity, Information Quality and Credit Risk," 2009 Meeting Papers 1028, Society for Economic Dynamics.
    21. Horváth, Ferenc, 2017. "Essays on robust asset pricing," Other publications TiSEM e54d7b33-1f27-4b0e-9f84-f, Tilburg University, School of Economics and Management.
    22. Yuanping Wang & Yingjie Niu & Siwen Gong, 2022. "Robust consumption policy with the desire for wealth accumulation," Review of Economics of the Household, Springer, vol. 20(3), pages 993-1025, September.
    23. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
    24. Qi Nan Zhai, 2015. "Asset Pricing Under Ambiguity and Heterogeneity," PhD Thesis, Finance Discipline Group, UTS Business School, University of Technology, Sydney, number 1-2015.
    25. Claudio Campanale, 2011. "Learning, Ambiguity and Life-Cycle Portfolio Allocation," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 14(2), pages 339-367, April.
    26. Rhys M. Bidder & Ian Dew-Becker, 2014. "Long-Run Risk is the Worst-Case Scenario: Ambiguity Aversion and Non-Parametric Estimation of the Endowment Process," Working Paper Series 2014-16, Federal Reserve Bank of San Francisco.
    27. Chakravarty, Surajeet & Choo, Lawrence & Fonseca, Miguel A. & Kaplan, Todd R., 2020. "Should regulators always be transparent? A bank run experiment," MPRA Paper 99948, University Library of Munich, Germany.
    28. Francesco Bianchi & Cosmin L. Ilut & Martin Schneider, 2018. "Uncertainty Shocks, Asset Supply and Pricing over the Business Cycle," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 85(2), pages 810-854.
    29. Siddiqi, Hammad, 2009. "Ambiguity, Infra-Marginal Investors, and Market Prices," MPRA Paper 13514, University Library of Munich, Germany.
    30. Bin Wei, 2021. "Ambiguity, Long-Run Risks, and Asset Prices," FRB Atlanta Working Paper 2021-21, Federal Reserve Bank of Atlanta.
    31. Veronesi, Pietro & Pástor, Luboš, 2009. "Learning in Financial Markets," CEPR Discussion Papers 7127, C.E.P.R. Discussion Papers.
    32. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
    33. Xiang Lin & Chunhong Zhang & Tak Siu, 2012. "Stochastic differential portfolio games for an insurer in a jump-diffusion risk process," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 75(1), pages 83-100, February.
    34. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    35. Heyen, Daniel, 2014. "Learning under Ambiguity - A Note on the Belief Dynamics of Epstein and Schneider (2007)," Working Papers 0573, University of Heidelberg, Department of Economics.
    36. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
    37. Peng, Xingchun & Chen, Fenge & Hu, Yijun, 2014. "Optimal investment, consumption and proportional reinsurance under model uncertainty," Insurance: Mathematics and Economics, Elsevier, vol. 59(C), pages 222-234.
    38. Farouq Abdulaziz Masoudy, 2018. "Accurate Evaluation of Asset Pricing Under Uncertainty and Ambiguity of Information," Papers 1801.06966, arXiv.org, revised Mar 2018.
    39. Daniele Pennesi, 2013. "Asset Prices in an Ambiguous Economy," Carlo Alberto Notebooks 315, Collegio Carlo Alberto.
    40. Patrick Beissner & Qian Lin & Frank Riedel, 2020. "Dynamically consistent alpha‐maxmin expected utility," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1073-1102, July.
    41. Döbeli, Barbara & Vanini, Paolo, 2010. "Stated and revealed investment decisions concerning retail structured products," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1400-1411, June.
    42. Zhao, Guihai, 2017. "Confidence, bond risks, and equity returns," Journal of Financial Economics, Elsevier, vol. 126(3), pages 668-688.
    43. Yehuda Izhakian, 2012. "Capital Asset Pricing Under Ambiguity," Working Papers 12-02, New York University, Leonard N. Stern School of Business, Department of Economics.
    44. Philipp Karl ILLEDITSCH, 2009. "Ambiguous Information, Risk Aversion, and Asset Pricing," 2009 Meeting Papers 802, Society for Economic Dynamics.
    45. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.

  2. Markus LEIPPOLD & Fabio TROJANI & Paolo VANINI, 2002. "A Geometric Approach to Multiperiod Mean Variance Optimization of Assets and Liabilities," FAME Research Paper Series rp48, International Center for Financial Asset Management and Engineering.

    Cited by:

    1. Bodnar, Taras & Parolya, Nestor & Schmid, Wolfgang, 2015. "On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability," European Journal of Operational Research, Elsevier, vol. 246(2), pages 528-542.
    2. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "On the Equivalence of Quadratic Optimization Problems Commonly Used in Portfolio Theory," Papers 1207.1029, arXiv.org, revised Apr 2013.
    3. K. Kerstens, 2006. "Multi-Horizon Markowitz Porfolio Performance Appraisals : A General approach," Post-Print hal-00288784, HAL.
    4. Mei Choi Chiu & Hoi Ying Wong & Duan Li, 2012. "Roy’s Safety‐First Portfolio Principle in Financial Risk Management of Disastrous Events," Risk Analysis, John Wiley & Sons, vol. 32(11), pages 1856-1872, November.
    5. Yan, Tingjin & Han, Jinhui & Ma, Guiyuan & Siu, Chi Chung, 2023. "Dynamic asset-liability management with frictions," Insurance: Mathematics and Economics, Elsevier, vol. 111(C), pages 57-83.
    6. Bekker, Paul A., 2004. "A mean-variance frontier in discrete and continuous time," CCSO Working Papers 200406, University of Groningen, CCSO Centre for Economic Research.
    7. Zhang, Miao & Chen, Ping, 2016. "Mean–variance asset–liability management under constant elasticity of variance process," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 11-18.
    8. Wu, Huiling & Li, Zhongfei, 2012. "Multi-period mean–variance portfolio selection with regime switching and a stochastic cash flow," Insurance: Mathematics and Economics, Elsevier, vol. 50(3), pages 371-384.
    9. Ben-Zhang Yang & Xin-Jiang He & Song-Ping Zhu, 2020. "Continuous time mean-variance-utility portfolio problem and its equilibrium strategy," Papers 2005.06782, arXiv.org, revised Nov 2020.
    10. Helu Xiao & Tiantian Ren & Zhongbao Zhou, 2019. "Time-Consistent Strategies for the Generalized Multiperiod Mean-Variance Portfolio Optimization Considering Benchmark Orientation," Mathematics, MDPI, vol. 7(8), pages 1-26, August.
    11. Castellano, Rosella & Cerqueti, Roy, 2014. "Mean–Variance portfolio selection in presence of infrequently traded stocks," European Journal of Operational Research, Elsevier, vol. 234(2), pages 442-449.
    12. Yao, Haixiang & Li, Zhongfei & Chen, Shumin, 2014. "Continuous-time mean–variance portfolio selection with only risky assets," Economic Modelling, Elsevier, vol. 36(C), pages 244-251.
    13. Yu Yang & Yonghong Wu & Benchawan Wiwatanapataphee, 2020. "Time-consistent mean–variance asset-liability management in a regime-switching jump-diffusion market," Financial Markets and Portfolio Management, Springer;Swiss Society for Financial Market Research, vol. 34(4), pages 401-427, December.
    14. Wang, J. & Forsyth, P.A., 2011. "Continuous time mean variance asset allocation: A time-consistent strategy," European Journal of Operational Research, Elsevier, vol. 209(2), pages 184-201, March.
    15. Chiu, Mei Choi & Li, Duan, 2006. "Asset and liability management under a continuous-time mean-variance optimization framework," Insurance: Mathematics and Economics, Elsevier, vol. 39(3), pages 330-355, December.
    16. Yuanyuan Zhang & Xiang Li & Sini Guo, 2018. "Portfolio selection problems with Markowitz’s mean–variance framework: a review of literature," Fuzzy Optimization and Decision Making, Springer, vol. 17(2), pages 125-158, June.
    17. Xie, Shuxiang, 2009. "Continuous-time mean-variance portfolio selection with liability and regime switching," Insurance: Mathematics and Economics, Elsevier, vol. 45(1), pages 148-155, August.
    18. Qian Zhao & Jiaqin Wei & Rongming Wang, 2013. "Mean-Variance Asset-Liability Management with State-Dependent Risk Aversion," Papers 1304.7882, arXiv.org.
    19. Chen, Ping & Yang, Hailiang & Yin, George, 2008. "Markowitz's mean-variance asset-liability management with regime switching: A continuous-time model," Insurance: Mathematics and Economics, Elsevier, vol. 43(3), pages 456-465, December.
    20. Yao, Haixiang & Lai, Yongzeng & Li, Yong, 2013. "Continuous-time mean–variance asset–liability management with endogenous liabilities," Insurance: Mathematics and Economics, Elsevier, vol. 52(1), pages 6-17.
    21. Yumo Zhang, 2023. "Robust Optimal Investment Strategies for Mean-Variance Asset-Liability Management Under 4/2 Stochastic Volatility Models," Methodology and Computing in Applied Probability, Springer, vol. 25(1), pages 1-32, March.
    22. Aivaliotis, Georgios & Palczewski, Jan, 2014. "Investment strategies and compensation of a mean–variance optimizing fund manager," European Journal of Operational Research, Elsevier, vol. 234(2), pages 561-570.
    23. Dang, D.M. & Forsyth, P.A., 2016. "Better than pre-commitment mean-variance portfolio allocation strategies: A semi-self-financing Hamilton–Jacobi–Bellman equation approach," European Journal of Operational Research, Elsevier, vol. 250(3), pages 827-841.
    24. Zhou, Zhongbao & Xiao, Helu & Yin, Jialing & Zeng, Ximei & Lin, Ling, 2016. "Pre-commitment vs. time-consistent strategies for the generalized multi-period portfolio optimization with stochastic cash flows," Insurance: Mathematics and Economics, Elsevier, vol. 68(C), pages 187-202.
    25. Taras Bodnar & Nestor Parolya & Wolfgang Schmid, 2012. "A Closed-Form Solution of the Multi-Period Portfolio Choice Problem for a Quadratic Utility Function," Papers 1207.1003, arXiv.org, revised Nov 2014.
    26. Wei, Jiaqin & Wang, Tianxiao, 2017. "Time-consistent mean–variance asset–liability management with random coefficients," Insurance: Mathematics and Economics, Elsevier, vol. 77(C), pages 84-96.
    27. Baumann, Roger T. & Müller, Heinz H., 2008. "Pension funds as institutions for intertemporal risk transfer," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 1000-1012, June.
    28. Jian Pan & Qingxian Xiao, 2017. "Optimal mean–variance asset-liability management with stochastic interest rates and inflation risks," Mathematical Methods of Operations Research, Springer;Gesellschaft für Operations Research (GOR);Nederlands Genootschap voor Besliskunde (NGB), vol. 85(3), pages 491-519, June.
    29. Georgios I. Papayiannis, 2023. "A Framework for Treating Model Uncertainty in the Asset Liability Management Problem," Papers 2310.11987, arXiv.org.
    30. O. L. V. Costa & R. B. Nabholz, 2007. "Multiperiod Mean-Variance Optimization with Intertemporal Restrictions," Journal of Optimization Theory and Applications, Springer, vol. 134(2), pages 257-274, August.
    31. Yao, Haixiang & Li, Zhongfei & Li, Duan, 2016. "Multi-period mean-variance portfolio selection with stochastic interest rate and uncontrollable liability," European Journal of Operational Research, Elsevier, vol. 252(3), pages 837-851.
    32. Spyridon D Vrontos & Ioannis D Vrontos & Loukia Meligkotsidou, 2013. "Asset-liability management for pension funds in a time-varying volatility environment," Journal of Asset Management, Palgrave Macmillan, vol. 14(5), pages 306-333, October.
    33. Wei, J. & Wong, K.C. & Yam, S.C.P. & Yung, S.P., 2013. "Markowitz’s mean–variance asset–liability management with regime switching: A time-consistent approach," Insurance: Mathematics and Economics, Elsevier, vol. 53(1), pages 281-291.
    34. Wang, J. & Forsyth, P.A., 2010. "Numerical solution of the Hamilton-Jacobi-Bellman formulation for continuous time mean variance asset allocation," Journal of Economic Dynamics and Control, Elsevier, vol. 34(2), pages 207-230, February.
    35. Basak, Suleyman & Chabakauri, Georgy, 2009. "Dynamic Mean-Variance Asset Allocation," CEPR Discussion Papers 7256, C.E.P.R. Discussion Papers.
    36. Xiangyu Cui & Xun Li & Duan Li, 2013. "Unified Framework of Mean-Field Formulations for Optimal Multi-period Mean-Variance Portfolio Selection," Papers 1303.1064, arXiv.org.
    37. Leippold, Markus & Vanini, Paolo & Ebnoether, Silvan, 2006. "Optimal credit limit management under different information regimes," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 463-487, February.
    38. Li, Danping & Shen, Yang & Zeng, Yan, 2018. "Dynamic derivative-based investment strategy for mean–variance asset–liability management with stochastic volatility," Insurance: Mathematics and Economics, Elsevier, vol. 78(C), pages 72-86.
    39. Yao, Haixiang & Zeng, Yan & Chen, Shumin, 2013. "Multi-period mean–variance asset–liability management with uncontrolled cash flow and uncertain time-horizon," Economic Modelling, Elsevier, vol. 30(C), pages 492-500.
    40. Haixiang Yao & Xun Li & Zhifeng Hao & Yong Li, 2016. "Dynamic asset–liability management in a Markov market with stochastic cash flows," Quantitative Finance, Taylor & Francis Journals, vol. 16(10), pages 1575-1597, October.
    41. Esfandi, Elaheh & Mousavi, Mir Hossein & Moshrefi, Rassam & Farhang-Moghaddam, Babak, 2020. "Insurer Optimal Asset Allocation in a Small and Closed Economy: The Case of Iran’s Social Security Organization," Journal of Money and Economy, Monetary and Banking Research Institute, Central Bank of the Islamic Republic of Iran, vol. 15(4), pages 445-461, October.
    42. Ryle S. Perera, 2020. "Provisions for bank deposit withdrawals and portfolio selection," International Journal of Financial Engineering (IJFE), World Scientific Publishing Co. Pte. Ltd., vol. 7(01), pages 1-32, March.
    43. M. C. Chiu & D. Li, 2009. "Asset-Liability Management Under the Safety-First Principle," Journal of Optimization Theory and Applications, Springer, vol. 143(3), pages 455-478, December.
    44. Xie, Shuxiang & Li, Zhongfei & Wang, Shouyang, 2008. "Continuous-time portfolio selection with liability: Mean-variance model and stochastic LQ approach," Insurance: Mathematics and Economics, Elsevier, vol. 42(3), pages 943-953, June.
    45. Ben-Zhang Yang & Xin-Jiang He & Song-Ping Zhu, 2020. "Mean-variance-utility portfolio selection with time and state dependent risk aversion," Papers 2007.06510, arXiv.org, revised Aug 2020.
    46. ManMohan S. Sodhi, 2005. "LP Modeling for Asset-Liability Management: A Survey of Choices and Simplifications," Operations Research, INFORMS, vol. 53(2), pages 181-196, April.

Articles

  1. Juerg Syz & Paolo Vanini, 2011. "Arbitrage Free Price Bounds for Property Derivatives," The Journal of Real Estate Finance and Economics, Springer, vol. 43(3), pages 281-298, October.

    Cited by:

    1. Frank J. Fabozzi & Robert J. Shiller & Radu S. Tunaru, 2020. "A 30-Year Perspective on Property Derivatives: What Can Be Done to Tame Property Price Risk?," Journal of Economic Perspectives, American Economic Association, vol. 34(4), pages 121-145, Fall.
    2. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.

  2. Döbeli, Barbara & Vanini, Paolo, 2010. "Stated and revealed investment decisions concerning retail structured products," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1400-1411, June.

    Cited by:

    1. Matthias Pelster & Andrea Schertler, 2019. "Pricing and issuance dependencies in structured financial product portfolios," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 39(3), pages 342-365, March.
    2. Lazar, Maya & Levkowitz, Amir & Oren, Amit & Sonsino, Doron, 2017. "A note on receptiveness to loss in structured Investment," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 69(C), pages 92-98.
    3. Nobuyuki Hanaki, 2021. "Risk misperceptions of structured financial products with worst-of payout characteristics revisited," ISER Discussion Paper 1143r, Institute of Social and Economic Research, Osaka University, revised Nov 2021.
    4. Abreu, Margarida & Mendes, Victor, 2018. "The investor in structured retail products: Advice driven or gambling oriented?," Journal of Behavioral and Experimental Finance, Elsevier, vol. 17(C), pages 1-9.
    5. Chen, Kee-Kuo & Ho, Hui-Ping & Chang, Ching-Ter, 2015. "Estimating attributes importance for container shipping industry by closing the listening gap with maximum convergent validity," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 79(C), pages 145-163.
    6. Margaria Abreu & Victor Mendes, 2017. "The Investor in Structured Retail Products: Marketing Driven or Gambling Oriented?," Working Papers Department of Economics 2017/19, ISEG - Lisbon School of Economics and Management, Department of Economics, Universidade de Lisboa.
    7. da Silva, Paulo Pereira & Mendes, Victor, 2021. "Exchange-traded certificates, education and the disposition effect," Journal of Behavioral and Experimental Finance, Elsevier, vol. 29(C).
    8. Andreas Hackethal & Tobin Hanspal & Dominique M Lammer & Kevin Rink, 2022. "The Characteristics and Portfolio Behavior of Bitcoin Investors: Evidence from Indirect Cryptocurrency Investments [The investor in structured retail products: advice driven or gambling oriented]," Review of Finance, European Finance Association, vol. 26(4), pages 855-898.
    9. Chen, Rongda & Zhou, Hanxian & Jin, Chenglu & Liu, Jia, 2020. "Discount or premium? Pricing of structured products: An analysis of Chinese market," International Review of Financial Analysis, Elsevier, vol. 70(C).
    10. Lammer, Dominique Marcel & Hanspal, Tobin & Hackethal, Andreas, 2020. "Who are the Bitcoin investors? Evidence from indirect cryptocurrency investments," SAFE Working Paper Series 277, Leibniz Institute for Financial Research SAFE.
    11. Herrera, Helios & Schroth, Enrique, 2011. "Advantageous innovation and imitation in the underwriting market for corporate securities," Journal of Banking & Finance, Elsevier, vol. 35(5), pages 1097-1113, May.

  3. Juerg Syz & Paolo Vanini & Marco Salvi, 2008. "Property Derivatives and Index-Linked Mortgages," The Journal of Real Estate Finance and Economics, Springer, vol. 36(1), pages 23-35, January.

    Cited by:

    1. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.
    2. Pierre-Arnaud Drouhin & Arnaud Simon & Yasmine Essafi, 2016. "Forward Curve Risk Factors Analysis in the UK Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 53(4), pages 494-526, November.
    3. Cruz-Aké, Salvador & Venegas-Martínez, Francisco & Cabrera-Ramos, Agustín, 2013. "Irracionalidad En Los Mercados Inmobiliarios De Los Eu," Sección de Estudios de Posgrado e Investigación de la Escuela Superios de Economía del Instituto Politécnico Nacional, in: Benemerita Universidad Autónoma de Puebla (ed.), Política Económica: Análisis Monetario, Regional e Institucional, volume 1, chapter 2, pages 49-82, Escuela Superior de Economía, Instituto Politécnico Nacional.
    4. Yoshiki Kago & Charles Ward, 2008. "Hedging Effectiveness of Total Returns Swaps: Application to the Japanese Market," Real Estate & Planning Working Papers rep-wp2008-05, Henley Business School, University of Reading.
    5. Drouhin, Pierre-Arnaud, 2012. "Caractéristiques statistiques et dynamique de prix des produits dérivés immobiliers," Economics Thesis from University Paris Dauphine, Paris Dauphine University, number 123456789/10918 edited by Batsch, Laurent.

  4. Markus Leippold & Fabio Trojani & Paolo Vanini, 2008. "Learning and Asset Prices Under Ambiguous Information," The Review of Financial Studies, Society for Financial Studies, vol. 21(6), pages 2565-2597, November.
    See citations under working paper version above.
  5. Ebnother, Silvan & Vanini, Paolo, 2007. "Credit portfolios: What defines risk horizons and risk measurement?," Journal of Banking & Finance, Elsevier, vol. 31(12), pages 3663-3679, December.

    Cited by:

    1. Mariusz Górajski & Dobromił Serwa & Zuzanna Wośko, 2019. "Measuring expected time to default under stress conditions for corporate loans," Empirical Economics, Springer, vol. 57(1), pages 31-52, July.
    2. Simona Mateut & Spiros Bougheas & Paul Mizen, 2008. "Corporate trade credit and inventories: New evidence of a tradeoff from accounts payable and receivable," Discussion Papers 08/09, University of Nottingham, Centre for Finance, Credit and Macroeconomics (CFCM).
    3. Orth, Walter, 2011. "Multi-period credit default prediction with time-varying covariates," MPRA Paper 30507, University Library of Munich, Germany.
    4. Anthony Wood & Angela Kellman, 2013. "Risk Management Practices by Barbadian Banks," International Journal of Business and Social Research, LAR Center Press, vol. 3(5), pages 22-33, May.
    5. Zhang, Ning & Su, Xiaoman & Qi, Shuyuan, 2023. "An empirical investigation of multiperiod tail risk forecasting models," International Review of Financial Analysis, Elsevier, vol. 86(C).
    6. Dana Kise¾áková & Alexander Kise¾ák, 2013. "ANALYSIS OF BANKING BUSINESS AND ITS IMPACT ON FINANCIAL STABILITY OF ECONOMIES IN EURO AREA The main objective of this article is to investigate banking business and analyze factors affecting financi," Polish Journal of Management Studies, Czestochowa Technical University, Department of Management, vol. 8(1), pages 121-131, December.
    7. Dana Kiselakova & Beata Sofrankova & Miroslava Soltes, 2016. "Analytical View on the Financial and Social Stability within the Euro Area: Empirical Evidence from Slovakia," International Journal of Economics and Financial Issues, Econjournals, vol. 6(4), pages 1637-1645.

  6. Egloff, Daniel & Leippold, Markus & Vanini, Paolo, 2007. "A simple model of credit contagion," Journal of Banking & Finance, Elsevier, vol. 31(8), pages 2475-2492, August.

    Cited by:

    1. Mohamed A. Ayadi & Hatem Ben-Ameur & Nabil Channouf & Quang Khoi Tran, 2019. "NORTA for portfolio credit risk," Annals of Operations Research, Springer, vol. 281(1), pages 99-119, October.
    2. Nystrom, Kaj & Skoglund, Jimmy, 2006. "A credit risk model for large dimensional portfolios with application to economic capital," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2163-2197, August.
    3. Escribano, Ana & Maggi, Mario, 2019. "Intersectoral default contagion: A multivariate Poisson autoregression analysis," Economic Modelling, Elsevier, vol. 82(C), pages 376-400.
    4. Carlos Castro & Juan S. Ordoñez & Sergio Preciado, 2016. "Network externalities across financial institutions," Documentos de Trabajo 14287, Universidad del Rosario.
    5. Patrick Gagliardini & Christian Gouriéroux, 2012. "Correlated Risks vs Contagion in Stochastic Transition Models," Working Papers 2012-07, Center for Research in Economics and Statistics.
    6. Alexander Lipton, 2015. "Modern Monetary Circuit Theory, Stability of Interconnected Banking Network, and Balance Sheet Optimization for Individual Banks," Papers 1510.07608, arXiv.org.
    7. Gai, Prasanna & Kapadia, Sujit, 2010. "Contagion in financial networks," Bank of England working papers 383, Bank of England.
    8. Pierre Paga & Reimer Kuhn, 2014. "Contagion in an interacting economy," Papers 1409.2625, arXiv.org, revised Mar 2015.
    9. Sebastian Heise & Reimer Kuehn, 2012. "Derivatives and Credit Contagion in Interconnected Networks," Papers 1202.3025, arXiv.org.
    10. Gao, Tianjiao & Gupta, Aparna & Gulpinar, Nalan & Zhu, Yun, 2015. "Optimal hedging strategy for risk management on a network," Journal of Financial Stability, Elsevier, vol. 16(C), pages 31-44.
    11. Bandyopadhyay, Arindam, 2011. "Internal Assessment of Credit Concentration Risk Capital: A Portfolio Analysis of Indian Public Sector Bank," MPRA Paper 28672, University Library of Munich, Germany.
    12. Didier Rulli`ere & Diana Dorobantu & Areski Cousin, 2009. "An extension of Davis and Lo's contagion model," Papers 0904.1653, arXiv.org, revised Feb 2010.
    13. Collet, Jerome & Ielpo, Florian, 2018. "Sector spillovers in credit markets," Journal of Banking & Finance, Elsevier, vol. 94(C), pages 267-278.
    14. Diana Barro & Antonella Basso, 2008. "Credit contagion in a network of firms with spatial interaction," Working Papers 186, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    15. McNeil, Alexander J. & Wendin, Jonathan P., 2007. "Bayesian inference for generalized linear mixed models of portfolio credit risk," Journal of Empirical Finance, Elsevier, vol. 14(2), pages 131-149, March.
    16. Sokolov, Yuri, 2012. "Modeling risk in a dynamically changing world: from association to causation," MPRA Paper 40096, University Library of Munich, Germany.
    17. Dungey, Mardi & Milunovich, George & Thorp, Susan, 2010. "Unobservable shocks as carriers of contagion," Journal of Banking & Finance, Elsevier, vol. 34(5), pages 1008-1021, May.
    18. Cecilia Mancini & Fabio Gobbi, 2010. "Identifying the Brownian Covariation from the Co-Jumps Given Discrete Observations," Working Papers - Mathematical Economics 2010-05, Universita' degli Studi di Firenze, Dipartimento di Scienze per l'Economia e l'Impresa.
    19. Linda Allen & Anthony Saunders, 2004. "Incorporating Systemic Influences Into Risk Measurements: A Survey of the Literature," Journal of Financial Services Research, Springer;Western Finance Association, vol. 26(2), pages 161-191, October.
    20. Drehmann, Mathias & Sorensen, Steffen & Stringa, Marco, 2010. "The integrated impact of credit and interest rate risk on banks: A dynamic framework and stress testing application," Journal of Banking & Finance, Elsevier, vol. 34(4), pages 713-729, April.
    21. Ioannis Anagnostou & Sumit Sourabh & Drona Kandhai, 2018. "Incorporating Contagion in Portfolio Credit Risk Models Using Network Theory," Complexity, Hindawi, vol. 2018, pages 1-15, January.
    22. Edirisinghe, Chanaka & Gupta, Aparna & Roth, Wendy, 2015. "Risk assessment based on the analysis of the impact of contagion flow," Journal of Banking & Finance, Elsevier, vol. 60(C), pages 209-223.
    23. Antonella Basso & Riccardo Gusso, 2008. "A credit contagion model for the dynamics of the rating transitions in a SME bank loan portfolio," Working Papers 162, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    24. Qian, Qian & Chao, Xiangrui & Feng, Hairong, 2023. "Internal or external control? How to respond to credit risk contagion in complex enterprises network," International Review of Financial Analysis, Elsevier, vol. 87(C).
    25. Joachim Sicking & Thomas Guhr & Rudi Schafer, 2016. "Concurrent Credit Portfolio Losses," Papers 1604.06917, arXiv.org, revised Jan 2017.
    26. Calabrese, Raffaella, 2023. "Contagion effects of UK small business failures: A spatial hierarchical autoregressive model for binary data," European Journal of Operational Research, Elsevier, vol. 305(2), pages 989-997.
    27. EnDer Su, 2021. "Testing stock market contagion properties between large and small stock markets," Review of Quantitative Finance and Accounting, Springer, vol. 57(1), pages 147-202, July.
    28. Alexander Lipton, 2016. "Modern Monetary Circuit Theory, Stability Of Interconnected Banking Network, And Balance Sheet Optimization For Individual Banks," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 19(06), pages 1-57, September.
    29. Tingqiang Chen & Binqing Xiao & Haifei Liu, 2018. "Credit Risk Contagion in an Evolving Network Model Integrating Spillover Effects and Behavioral Interventions," Complexity, Hindawi, vol. 2018, pages 1-16, March.
    30. Antje Berndt & Peter Ritchken & Zhiqiang Sun, 2010. "On Correlation and Default Clustering in Credit Markets," The Review of Financial Studies, Society for Financial Studies, vol. 23(7), pages 2680-2729, July.
    31. Diana Barro & Antonella Basso, 2008. "A network of business relations to model counterparty risk," Working Papers 171, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    32. Didier Cossin & Henry Schellhorn, 2007. "Credit Risk in a Network Economy," Management Science, INFORMS, vol. 53(10), pages 1604-1617, October.
    33. Joachim Sicking & Thomas Guhr & Rudi Schäfer, 2018. "Concurrent credit portfolio losses," PLOS ONE, Public Library of Science, vol. 13(2), pages 1-20, February.
    34. Raffaella Calabrese & Galina Andreeva & Jake Ansell, 2019. "“Birds of a Feather” Fail Together: Exploring the Nature of Dependency in SME Defaults," Risk Analysis, John Wiley & Sons, vol. 39(1), pages 71-84, January.
    35. Blochlinger, Andreas & Leippold, Markus, 2006. "Economic benefit of powerful credit scoring," Journal of Banking & Finance, Elsevier, vol. 30(3), pages 851-873, March.
    36. Tingqiang Chen & Xindan Li & Jining Wang, 2015. "Spatial Interaction Model of Credit Risk Contagion in the CRT Market," Computational Economics, Springer;Society for Computational Economics, vol. 46(4), pages 519-537, December.
    37. Horst, Ulrich, 2007. "Stochastic cascades, credit contagion, and large portfolio losses," Journal of Economic Behavior & Organization, Elsevier, vol. 63(1), pages 25-54, May.
    38. Drehmann, Mathias & Alessandri, Piergiorgio, 2009. "An economic capital model integrating credit and interest rate risk in the banking book," Working Paper Series 1041, European Central Bank.
    39. Xing, Haipeng & Sun, Ning & Chen, Ying, 2012. "Credit rating dynamics in the presence of unknown structural breaks," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 78-89.
    40. Diana Barro & Antonella Basso, 2006. "A credit contagion model for loan portfolios in a network of firms with spatial interaction," Working Papers 143, Department of Applied Mathematics, Università Ca' Foscari Venezia.
    41. Qian Qian & Yang Yang & Zong-Fang Zhou, 2019. "Research on Trade Credit Spreading and Credit Risk within the Supply Chain," International Journal of Information Technology & Decision Making (IJITDM), World Scientific Publishing Co. Pte. Ltd., vol. 18(01), pages 389-411, January.
    42. Andreas Mühlbacher & Thomas Guhr, 2018. "Extreme Portfolio Loss Correlations in Credit Risk," Risks, MDPI, vol. 6(3), pages 1-25, July.
    43. Hanson, Samuel & Schuermann, Til, 2006. "Confidence intervals for probabilities of default," Journal of Banking & Finance, Elsevier, vol. 30(8), pages 2281-2301, August.
    44. Chen, Tingqiang & Wang, Jiepeng & Liu, Haifei & He, Yuanping, 2019. "Contagion model on counterparty credit risk in the CRT market by considering the heterogeneity of counterparties and preferential-random mixing attachment," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 520(C), pages 458-480.
    45. Mauro Aliano & Lucianna Cananà & Greta Cestari & Stefania Ragni, 2023. "A Dynamical Model with Time Delay for Risk Contagion," Mathematics, MDPI, vol. 11(2), pages 1-19, January.
    46. Giesecke, Kay & Weber, Stefan, 2006. "Credit contagion and aggregate losses," Journal of Economic Dynamics and Control, Elsevier, vol. 30(5), pages 741-767, May.
    47. Batiz-Zuk, Enrique & Christodoulakis, George & Poon, Ser-Huang, 2015. "Credit contagion in the presence of non-normal shocks," International Review of Financial Analysis, Elsevier, vol. 37(C), pages 129-139.
    48. Jose Fique, 2017. "Retrieving Implied Financial Networks from Bank Balance-Sheet and Market Data," Staff Working Papers 17-30, Bank of Canada.
    49. Steinbacher, Matjaz & Steinbacher, Mitja & Steinbacher, Matej, 2013. "Credit Contagion in Financial Markets: A Network-Based Approach," MPRA Paper 49616, University Library of Munich, Germany.
    50. Blöchlinger, Andreas, 2011. "Arbitrage-free credit pricing using default probabilities and risk sensitivities," Journal of Banking & Finance, Elsevier, vol. 35(2), pages 268-281, February.
    51. Qian, Qian & Yang, Yang & Gu, Jing & Feng, Hairong, 2019. "Information authenticity, spreading willingness and credit risk contagion – A dual-layer network perspective," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 536(C).
    52. Fabio Gobbi & Cecilia Mancini, 2006. "Identifying the covariation between the diffusion parts and the co-jumps given discrete observations," Papers math/0610621, arXiv.org, revised Jul 2008.

  7. Leippold, Markus & Vanini, Paolo & Ebnoether, Silvan, 2006. "Optimal credit limit management under different information regimes," Journal of Banking & Finance, Elsevier, vol. 30(2), pages 463-487, February.

    Cited by:

    1. Lawrence Haar & Andros Gregoriou, 2023. "Regulation and De-Risking: Theoretical and Empirical Insights," Risks, MDPI, vol. 11(6), pages 1-23, June.
    2. W.A. Isola & E.P. Mesagan, 2018. "Monetary Policy and Small and Medium Enterprises’ Performance in Selected West African Countries," Romanian Economic Journal, Department of International Business and Economics from the Academy of Economic Studies Bucharest, vol. 21(69), pages 14-23, September.
    3. Aloisio Araujo & J. Mauricio Villalba, 2022. "Equilibrium efficiency with secured and unsecured assets," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(4), pages 1025-1049, June.

  8. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August.

    Cited by:

    1. Jean-David Fermanian & Olivier Scaillet, 2003. "Sensitivity Analysis of Var and Expected Shortfall for Portfolios under Netting Agreements," Working Papers 2003-33, Center for Research in Economics and Statistics.
    2. Traian A. Pirvu & Gordan Žitković, 2009. "Maximizing The Growth Rate Under Risk Constraints," Mathematical Finance, Wiley Blackwell, vol. 19(3), pages 423-455, July.
    3. José Vicente & Aloísio Araújo, 2010. "Social Welfare Analysis in a Financial Economy with Risk Regulation," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 12(3), pages 561-586, June.
    4. Araújo, Aloísio Pessoa & Vicente, José Valentim M., 2006. "Risk Regulation in Brazil: A General Equilibrium Model," Brazilian Review of Econometrics, Sociedade Brasileira de Econometria - SBE, vol. 26(1), May.
    5. Enrico De Giorgi, "undated". "Evolutionary Portfolio Selection with Liquidity Shocks," IEW - Working Papers 185, Institute for Empirical Research in Economics - University of Zurich.
    6. Cuoco, Domenico & Liu, Hong, 2006. "An analysis of VaR-based capital requirements," Journal of Financial Intermediation, Elsevier, vol. 15(3), pages 362-394, July.
    7. Christophe Pérignon & Zi Yin Deng & Zhi Jun Wang, 2008. "Do banks overstate their Value-at-Risk?," Post-Print hal-00461046, HAL.
    8. James O'Brien & Jeremy Berkowitz, 2005. "Estimating Bank Trading Risk: A Factor Model Approach," NBER Working Papers 11608, National Bureau of Economic Research, Inc.
    9. Traian A. Pirvu & Gordan Zitkovic, 2007. "Maximizing the Growth Rate under Risk Constraints," Papers 0706.0480, arXiv.org.
    10. Santiago Moreno-Bromberg & Traian Pirvu & Anthony R'eveillac, 2011. "CRRA Utility Maximization under Risk Constraints," Papers 1106.1702, arXiv.org, revised Mar 2012.
    11. Ziggel, Daniel & Berens, Tobias & Weiß, Gregor N.F. & Wied, Dominik, 2014. "A new set of improved Value-at-Risk backtests," Journal of Banking & Finance, Elsevier, vol. 48(C), pages 29-41.
    12. Cheridito, Patrick & Stadje, Mitja, 2009. "Time-inconsistency of VaR and time-consistent alternatives," Finance Research Letters, Elsevier, vol. 6(1), pages 40-46, March.
    13. Xianzhe Chen & Weidong Tian, 2014. "Optimal portfolio choice and consistent performance," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 37(2), pages 453-474, October.
    14. Carole Bernard & Weidong Tian, 2009. "Optimal Reinsurance Arrangements Under Tail Risk Measures," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 76(3), pages 709-725, September.
    15. Domenico Cuoco & Hua He & Sergei Isaenko, 2008. "Optimal Dynamic Trading Strategies with Risk Limits," Operations Research, INFORMS, vol. 56(2), pages 358-368, April.
    16. Redeker Imke & Wunderlich Ralf, 2018. "Portfolio optimization under dynamic risk constraints: Continuous vs. discrete time trading," Statistics & Risk Modeling, De Gruyter, vol. 35(1-2), pages 1-21, January.

  9. Fabio Trojani & Paolo Vanini, 2004. "Robustness and Ambiguity Aversion in General Equilibrium," Review of Finance, Springer, vol. 8(2), pages 279-324.

    Cited by:

    1. Gonçalo Faria & João Correia-da-Silva, 2011. "A Closed-Form Solution for Options with Ambiguity about Stochastic Volatility," FEP Working Papers 414, Universidade do Porto, Faculdade de Economia do Porto.
    2. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
    3. Yehuda Izhakian, 2012. "Does Ambiguity Diversification Pay?," Working Papers 12-11, New York University, Leonard N. Stern School of Business, Department of Economics.
    4. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
    5. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
    6. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    7. Christoph Bühren & Fabian Meier & Marco Pleßner, 2023. "Ambiguity aversion: bibliometric analysis and literature review of the last 60 years," Management Review Quarterly, Springer, vol. 73(2), pages 495-525, June.
    8. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    9. Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2008. "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 08-19, Swiss Finance Institute.
    10. Tarik Driouchi & Lenos Trigeorgis & Raymond H. Y. So, 2018. "Option implied ambiguity and its information content: Evidence from the subprime crisis," Annals of Operations Research, Springer, vol. 262(2), pages 463-491, March.
    11. Aït-Sahalia, Yacine & Matthys, Felix, 2019. "Robust consumption and portfolio policies when asset prices can jump," Journal of Economic Theory, Elsevier, vol. 179(C), pages 1-56.
    12. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen.
    13. Michail Anthropelos & Paul Schneider, 2021. "Optimal Investment and Equilibrium Pricing under Ambiguity," Swiss Finance Institute Research Paper Series 21-78, Swiss Finance Institute.
    14. Wang, Yuli & Niu, Yingjie, 2020. "Ambiguity aversion for risk choice," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    15. Nina Boyarchenko, 2009. "Ambiguity, Information Quality and Credit Risk," 2009 Meeting Papers 1028, Society for Economic Dynamics.
    16. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
    17. Escobari, Diego & Jafarinejad, Mohammad, 2018. "Investors’ Uncertainty and Stock Market Risk," MPRA Paper 86975, University Library of Munich, Germany.
    18. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2015. "Robust portfolio choice with derivative trading under stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 142-157.
    19. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2006. "Equilibrium impact of value-at-risk regulation," Journal of Economic Dynamics and Control, Elsevier, vol. 30(8), pages 1277-1313, August.
    20. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    21. Li, Jing, 2018. "Essays on model uncertainty in financial models," Other publications TiSEM 202cd910-7ef1-4db4-94ae-d, Tilburg University, School of Economics and Management.
    22. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
    23. Xing Jin & Dan Luo & Xudong Zeng, 2021. "Tail Risk and Robust Portfolio Decisions," Management Science, INFORMS, vol. 67(5), pages 3254-3275, May.
    24. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.
    25. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2018. "Dynamic derivative strategies with stochastic interest rates and model uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 86(C), pages 49-71.
    26. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
    27. Claudia Ravanelli & Gregor Svindland, 2019. "Ambiguity sensitive preferences in Ellsberg frameworks," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 67(1), pages 53-89, February.
    28. Fabio Trojani & Roberto G. Ferretti, 2005. "General Analytical Solutions For Mertons'S-Type Consumption-Investment Problems," University of St. Gallen Department of Economics working paper series 2005 2005-02, Department of Economics, University of St. Gallen.
    29. Sbuelz, Alessandro & Trojani, Fabio, 2008. "Asset prices with locally constrained-entropy recursive multiple-priors utility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3695-3717, November.
    30. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.

  10. Dobeli, Barbara & Vanini, Paolo, 2004. "An analysis of IMF-induced moral hazard," Journal of Banking & Finance, Elsevier, vol. 28(12), pages 2933-2956, December.

    Cited by:

    1. Tatsuyoshi Miyakoshi, 2014. "Is the pragmatic response to International Monetary Fund quotas and credit limits favourable?," Applied Economics, Taylor & Francis Journals, vol. 46(33), pages 4075-4082, November.
    2. Kutan, Ali M. & Muradoglu, Gulnur & Sudjana, Brasukra G., 2012. "IMF programs, financial and real sector performance, and the Asian crisis," Journal of Banking & Finance, Elsevier, vol. 36(1), pages 164-182.
    3. Kosmidou, Kyriaki V. & Kousenidis, Dimitrios V. & Negakis, Christos I., 2015. "The impact of the EU/ECB/IMF bailout programs on the financial and real sectors of the ASE during the Greek sovereign crisis," Journal of Banking & Finance, Elsevier, vol. 50(C), pages 440-454.
    4. Noy, Ilan, 2008. "Sovereign default risk, the IMF and creditor moral hazard," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 18(1), pages 64-78, February.
    5. Ilan Noy, 2004. "Do IMF Bailouts Result in Moral Hazard? An Events-Study Approach," Working Papers 200402, University of Hawaii at Manoa, Department of Economics.

  11. Leippold, Markus & Trojani, Fabio & Vanini, Paolo, 2004. "A geometric approach to multiperiod mean variance optimization of assets and liabilities," Journal of Economic Dynamics and Control, Elsevier, vol. 28(6), pages 1079-1113, March.
    See citations under working paper version above.
  12. Norman Brown & Paolo Vanini, 2003. "On Habits and Addictions," Journal of Institutional and Theoretical Economics (JITE), Mohr Siebeck, Tübingen, vol. 159(4), pages 603-626, December.

    Cited by:

    1. Jonathan Caulkins & Gustav Feichtinger & Richard Hartl & Peter Kort & Andreas Novak & Andrea Seidl, 2013. "Multiple equilibria and indifference-threshold points in a rational addiction model," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 21(3), pages 507-522, September.

  13. Trojani, Fabio & Vanini, Paolo, 2002. "A note on robustness in Merton's model of intertemporal consumption and portfolio choice," Journal of Economic Dynamics and Control, Elsevier, vol. 26(3), pages 423-435, March.

    Cited by:

    1. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," NBER Working Papers 16181, National Bureau of Economic Research, Inc.
    2. Larsen, Kasper & Zitkovic, Gordan, 2007. "Stability of utility-maximization in incomplete markets," Stochastic Processes and their Applications, Elsevier, vol. 117(11), pages 1642-1662, November.
    3. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
    4. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
    5. Qian Lin & Frank Riedel, 2021. "Optimal consumption and portfolio choice with ambiguous interest rates and volatility," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 71(3), pages 1189-1202, April.
    6. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
    7. Laurent BARRAS & Patrick Gagliardini & Paolo Porchia & Fabio Trojani, 2008. "Ambiguity Aversion and the Term Structure of Interest Rates," Swiss Finance Institute Research Paper Series 08-19, Swiss Finance Institute.
    8. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
    9. Fabio Trojani & Markus Leippold & Paolo Vanini, 2005. "Learning and Asset Prices under Ambiguous Information," University of St. Gallen Department of Economics working paper series 2005 2005-03, Department of Economics, University of St. Gallen.
    10. Lioui, Abraham & Poncet, Patrice, 2012. "On model ambiguity and money neutrality," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1020-1033.
    11. Vanini, Paolo, 2012. "Fiancial Innovation, Structuring and Risk Transfer," MPRA Paper 42536, University Library of Munich, Germany.
    12. Wang, Yuli & Niu, Yingjie, 2020. "Ambiguity aversion for risk choice," The North American Journal of Economics and Finance, Elsevier, vol. 54(C).
    13. Nina Boyarchenko, 2009. "Ambiguity, Information Quality and Credit Risk," 2009 Meeting Papers 1028, Society for Economic Dynamics.
    14. Horváth, Ferenc, 2017. "Essays on robust asset pricing," Other publications TiSEM e54d7b33-1f27-4b0e-9f84-f, Tilburg University, School of Economics and Management.
    15. Yuanping Wang & Yingjie Niu & Siwen Gong, 2022. "Robust consumption policy with the desire for wealth accumulation," Review of Economics of the Household, Springer, vol. 20(3), pages 993-1025, September.
    16. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
    17. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
    18. Lin, Qian & Riedel, Frank, 2014. "Optimal consumption and portfolio choice with ambiguity," Center for Mathematical Economics Working Papers 497, Center for Mathematical Economics, Bielefeld University.
    19. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
    20. Xing Jin & Dan Luo & Xudong Zeng, 2021. "Tail Risk and Robust Portfolio Decisions," Management Science, INFORMS, vol. 67(5), pages 3254-3275, May.
    21. Junichi Imai, 2022. "A Numerical Method for Hedging Bermudan Options under Model Uncertainty," Methodology and Computing in Applied Probability, Springer, vol. 24(2), pages 893-916, June.
    22. Gonçalo Faria & João Correia-da-Silva, 2016. "Is stochastic volatility relevant for dynamic portfolio choice under ambiguity?," The European Journal of Finance, Taylor & Francis Journals, vol. 22(7), pages 601-626, May.
    23. Berend Roorda & J. M. Schumacher & Jacob Engwerda, 2005. "Coherent Acceptability Measures In Multiperiod Models," Mathematical Finance, Wiley Blackwell, vol. 15(4), pages 589-612, October.
    24. Döbeli, Barbara & Vanini, Paolo, 2010. "Stated and revealed investment decisions concerning retail structured products," Journal of Banking & Finance, Elsevier, vol. 34(6), pages 1400-1411, June.
    25. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
    26. Sbuelz, Alessandro & Trojani, Fabio, 2008. "Asset prices with locally constrained-entropy recursive multiple-priors utility," Journal of Economic Dynamics and Control, Elsevier, vol. 32(11), pages 3695-3717, November.
    27. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.

  14. Fabio Trojani & Paolo Vanini & Luigi Vignola, 2002. "A Note on the Three–Portfolios Matching Problem," European Financial Management, European Financial Management Association, vol. 8(4), pages 515-527, December.

    Cited by:

    1. Francisco J. Callado†Muñoz & Fernando Restoy, 2011. "Collateral in Monetary Policy Operations," European Financial Management, European Financial Management Association, vol. 17(2), pages 286-304, March.

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