Browsing Statistics and Actuarial Science by Subject "Ambiguity"
Now showing items 1-3 of 3
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Ambiguity aversion and optimal derivative-based pension investment with stochastic income and volatility
(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 ... -
Contracting under Heterogeneous Beliefs
(University of Waterloo, 2011-06-03)The main motivation behind this thesis is the lack of belief subjectivity in problems of contracting, and especially in problems of demand for insurance. The idea that an underlying uncertainty in contracting problems (e.g. ... -
Optimal Portfolio Rule: When There is Uncertainty in The Parameter Estimates
(University of Waterloo, 2012-04-11)The classical mean-variance model, proposed by Harry Markowitz in 1952, has been one of the most powerful tools in the field of portfolio optimization. In this model, parameters are estimated by their sample counterparts. ...