Portfolio concentration, portfolio inertia, and ambiguous correlation
From MaRDI portal
Publication:2155229
DOI10.1016/J.JET.2022.105463zbMATH Open1497.91277OpenAlexW4225282317MaRDI QIDQ2155229FDOQ2155229
Julia Jiang, Weidong Tian, Xudong Zeng, Jun Liu
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
Recommendations
- Portfolio inertia under ambiguity
- AMBIGUITY AND PORTFOLIO INERTIA
- Portfolio inertia and epsilon-contaminations
- scientific article; zbMATH DE number 6458317
- Heterogeneity and portfolio choice
- Portfolio rebalancing and asset pricing with heterogeneous inattention
- Portfolio choices and asset prices: the comparative statics of ambiguity aversion
- Portfolio optimization with ambiguous correlation and stochastic volatilities
- Uncertainty aversion and portfolio inertia
smooth ambiguityportfolio inertiaanti-diversificationcorrelation ambiguitycorrelation-invariantportfolio concentration
Cites Work
- Title not available (Why is that?)
- Maxmin expected utility with non-unique prior
- Risk, ambiguity and the Savage axioms
- Introduction to Smooth Manifolds
- A Smooth Model of Decision Making under Ambiguity
- Title not available (Why is that?)
- Alpha as ambiguity: robust mean-variance portfolio analysis
- A Theory of Disappointment Aversion
- Reference dependent ambiguity
- Uncertainty Aversion, Risk Aversion, and the Optimal Choice of Portfolio
- Matrices
- First order versus second order risk aversion
- A Paradox for the Smooth Ambiguity Model of Preference
- Portfolio choices and asset prices: the comparative statics of ambiguity aversion
- Ambiguity aversion and incompleteness of financial markets.
- Equity Portfolio Diversification*
- A Minimax Theorem with Applications to Machine Learning, Signal Processing, and Finance
- Robustness and Separation in Multidimensional Screening
- Ellsberg's two-color experiment, portfolio inertia and ambiguity.
- Ambiguous Correlation
Cited In (9)
- PORTFOLIO RHO-PRESENTATIVITY
- Is concentration a good idea? Evidence from active fund management
- Intelligent Portfolio Theory and Strength Investing in the Confluence of Business and Market Cycles and Sector and Location Rotations
- Indexability, concentration, and VC theory
- Portfolio inertia and epsilon-contaminations
- Title not available (Why is that?)
- Portfolio symmetry and momentum
- Portfolio inertia under ambiguity
- AMBIGUITY AND PORTFOLIO INERTIA
This page was built for publication: Portfolio concentration, portfolio inertia, and ambiguous correlation
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2155229)
