Dynamic Consumption and Portfolio Choice with Ambiguity about Stochastic Volatility
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- 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.
- Massimo Guidolin & Francesca Rinaldi, 2010. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Working Papers 2010-028, Federal Reserve Bank of St. Louis.
- Massimo Guidolin & Francesca Rinaldi, 2011. "Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literature," Working Papers 417, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
- 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.
- Gonçalo Faria & João Correia-da-Silva, 2012. "Is Stochastic Volatility relevant for Dynamic Portfolio Choice under Ambiguity?," FEP Working Papers 472, Universidade do Porto, Faculdade de Economia do Porto.
- Eduardo Corso, 2015. "Ambiguity and portfolio decisions," BCRA Working Paper Series 201567, Central Bank of Argentina, Economic Research Department.
More about this item
KeywordsAsset Allocation; Stochastic Volatility; Ambiguity;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2009-12-19 (All new papers)
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