Work

Worst-case premiums and identification of homothetic robust Epstein-Zin utility under a quadratic model

Year: 2025

Type: article

Source: Decisions in Economics and Finance

DOI: 10.1007/s10203-025-00545-6

Authors: Bolorsuvd Batbold, Kentaro Kikuchi, Koji Kusuda

Institutions: University of Finance and Economics, Shiga University

Language: English

Topic: Stochastic processes and financial applications

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: green

Funder: Japan Society for the Promotion of Science

Award: Global factor extraction and risk analysis based on a no-arbitrage international securities pricing model

OpenAlex ID: W4415522993

FWCI: 0.914

Cites: 29

Cited by: 1

Related to: 10