15 citations · 16 across the 3 of their papers we have counts for
4 papers
Distributionally Robust Optimal Allocation with Costly Verification
Halil İbrahim Bayrak, Çağıl Koçyiğit, Daniel Kuhn +1
We consider the mechanism design problem of a principal allocating a single good to one of several agents without monetary transfers. Each agent desires the good and uses it to cre…
MAD Risk Parity Portfolios
Çağın Ararat, Francesco Cesarone, Mustafa Çelebi Pınar +1
In this paper, we investigate the features and the performance of the Risk Parity (RP) portfolios using the Mean Absolute Deviation (MAD) as a risk measure. The RP model is a recen…
The Robust Merton Problem of an Ambiguity Averse Investor
Sara Biagini, Mustafa Pinar
We derive a closed form portfolio optimization rule for an investor who is diffident about mean return and volatility estimates, and has a CRRA utility. The novelty is that confide…
The best gain-loss ratio is a poor performance measure
Sara Biagini, Mustafa Pinar
The gain-loss ratio is known to enjoy very good properties from a normative point of view. As a confirmation, we show that the best market gain-loss ratio in the presence of a rand…