Finance

  • Yakov Ben-Haim, 2006, Info-gap Decision Theory: Decisions Under Severe Uncertainty, 2nd edition, Academic Press, London.
    Chapter 3: Robustness and Opportuneness.
    … Section 3.2.7: Portfolio investment.
    Chapter 11: Robust-Satisficing Behavior.
    … Section 11.3: Info-gap analysis of expected-utility risk aversion.
    … Section 11.5: The equity premium puzzle: A solution.
  • Yakov Ben-Haim, 2010, Info-Gap Economics: An Operational Introduction, Palgrave. Description and endorsements.
    Chapter 4: Financial Stability
    4.1 Structured Securities: Simple Example
    4.2 Value at Risk in Financial Economics
    4.3 Stress Testing: Suite of Models
    4.4 Strategic Asset Allocation
  • Bryan Beresford-Smith and Colin J. Thompson, 2009, An info-gap approach to managing portfolios of assets with uncertain returns, Journal of Risk Finance, vol. 10, #3, pp.277-287.
    Abstract
  • Bryan Beresford-Smith and Colin J. Thompson, 2007, Managing credit risk with info-gap uncertainty, Journal of Risk Finance, vol. 8, #1, pp.24-34.
    Abstract
  • Yiping Li, Jianwen Chen, and Ling Feng, Dealing with uncertainty: A survey of theories and practices, IEEE Transactions on Knowledge and Data Engineering, vol.25, issue 11, November 2013, pages 2463-2482.
    Abstract
  • D. Berleant, L. Andrieu, J.-P. Argaud, F. Barjon, M.-P. Cheong, M. Dancre, G. Sheble and C.-C. Teoh, 2008, Portfolio management under epistemic uncertainty using stochastic dominance and information-gap theory,International Journal of Approximate Reasoning, vol.49, issue #1, pp.101–116.
  • Lior Davidovitch and Yakov Ben-Haim, 2011, Robust resource allocation: An info-gap approach, ICVRAM 2011: 1st International Conference on Vulnerability and Risk Assessment and Management, April 11-13, 2011, University of Maryland, College Park, pp.988-995.
  • Colin J. Thompson, Anthony J. Guttmann and Ben J.P. Thompson, 2008, Trading indicators with information-gap uncertainty, The Journal of Risk Finance, to appear.
  • Beresford-Smith, Bryan and Colin J. Thompson, 2007, Managing credit risk with info-gap uncertainty, The Journal of Risk Finance, vol.8, issue 1, pp.24-34.
  • Yakov Ben-Haim, 2005, Value at risk with info-gap uncertainty, Journal of Risk Finance, vol. 6, #5, pp.388-403. Pre-print.
  • Yakov Ben-Haim and Karsten Jeske, 2003, Home-bias in financial markets: Robust satisficing with info-gaps, Federal Reserve Bank of Atlanta, Working Paper Series, 2003-35, Dec. 2003, pdf file on the Federal Reserve Bank website. SSRN abstract and full paper at: http://ssrn.com/abstract=487585.
  • Yakov Ben-Haim, The equity premium: A solution, working paper. pdf file