Portfolio concentration, portfolio inertia, and ambiguous correlation

DOI10.1016/J.JET.2022.105463MaRDI QIDQ2155229zbMATH OpenOpenAlexFDO

Authors Julia Jiang, Jun Liu, Weidong Tian, Xudong Zeng

Publication date 15 July 2022

Published in Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jet.2022.105463

zbMATH Keywords

smooth ambiguityportfolio inertiaanti-diversificationcorrelation ambiguitycorrelation-invariantportfolio concentration

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

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• Ambiguity aversion and incompleteness of financial markets.
• Ambiguous correlation
• Ellsberg's two-color experiment, portfolio inertia and ambiguity.
• Equity Portfolio Diversification*
• First order versus second order risk aversion
• Introduction to Smooth Manifolds
• Matrices
• Maxmin expected utility with non-unique prior
• Portfolio choices and asset prices: the comparative statics of ambiguity aversion
• Reference dependent ambiguity
• Risk, ambiguity and the Savage axioms
• Robustness and separation in multidimensional screening
• Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio

Cited in

(11)

• PORTFOLIO RHO-PRESENTATIVITY
• Robust investment strategies with two risky assets
• Is concentration a good idea? Evidence from active fund management
• Indexability, concentration, and VC theory
• Intelligent Portfolio Theory and Strength Investing in the Confluence of Business and Market Cycles and Sector and Location Rotations
• Ambiguity overprecision and optimal capital requirements in continuous time
• Portfolio inertia and epsilon-contaminations
• scientific article; zbMATH DE number 6458317 (Why is no real title available?)
• Portfolio symmetry and momentum
• Portfolio inertia under ambiguity
• AMBIGUITY AND PORTFOLIO INERTIA

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