Browsing Mathematics (Faculty of) by Author "Yang, Zhou"
Now showing items 1-1 of 1
-
Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
Zeng, Yan; Li, Danping; Chen, Zheng; Yang, Zhou (Elsevier, 2018-03-01)This paper provides a derivative-based optimal investment strategy for an ambiguity-adverse pension investor who faces not only risks from time-varying income and market return volatility but also uncertain economic ...