Ferenc Horvath

City University of Hong Kong (CityUHK)

83 Tat Chee Avenue

Kowloon Tong

Kowloon

Hong Kong

http://www.ferenchorvath.com

SCHOLARLY PAPERS

4

DOWNLOADS

445

CITATIONS

5

Scholarly Papers (4)

1.

Robust Pricing of Fixed Income Securities

Number of pages: 59 Posted: 11 Apr 2016 Last Revised: 22 Nov 2017
Ferenc Horvath, Frank De Jong and Bas J. M. Werker
City University of Hong Kong (CityUHK), Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 184 (161,741)
Citation 3

Abstract:

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dynamic asset allocation, robustness, uncertainty, ambiguity, bond premium puzzle

2.

Dynamic Asset Liability Management Under Model Uncertainty

Asian Finance Association (AsianFA) 2018 Conference
Number of pages: 35 Posted: 19 Jan 2018 Last Revised: 23 Jan 2018
Ferenc Horvath, Frank De Jong and Bas J. M. Werker
City University of Hong Kong (CityUHK), Tilburg University - Department of Finance and Tilburg University - Center for Economic Research (CentER)
Downloads 136 (208,864)

Abstract:

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asset liability management, liability-driven investment, robustness, uncertainty, ambiguity

3.

Parameter Uncertainty: The Missing Piece of the Liquidity Premium Puzzle?

Number of pages: 37 Posted: 17 Nov 2016
Ferenc Horvath
City University of Hong Kong (CityUHK)
Downloads 76 (310,370)
Citation 1

Abstract:

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liquidity, dynamic asset allocation, robustness, uncertainty, ambiguity, liquidity premium puzzle

4.

Homothetic Robust Preferences

Number of pages: 20 Posted: 10 Sep 2018 Last Revised: 28 Feb 2019
Anne Balter and Ferenc Horvath
Tilburg University and City University of Hong Kong (CityUHK)
Downloads 49 (386,467)
Citation 1

Abstract:

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Robustness, Uncertainty, Ambiguity, Homothetic Preferences, Martingale Method