Portfolio allocation problems between risky and ambiguous assets
From MaRDI portal
Publication:2288958
Recommendations
- Uncertainty aversion, robust control and asset holdings
- Portfolio choices and asset prices: the comparative statics of ambiguity aversion
- Alpha as ambiguity: robust mean-variance portfolio analysis
- Optimal portfolio with vector expected utility
- Ambiguity in asset pricing and portfolio choice: a review of the literature
Cites work
- A note on asset proportions, stochastic dominance, and the 50\% rule
- A simplified axiomatic approach to ambiguity aversion
- A Smooth Model of Decision Making under Ambiguity
- A two-person dynamic equilibrium under ambiguity
- Additive representations of non-additive measures and the Choquet integral
- Asset Proportions in Optimal Portfolios
- Canonical Representation of Set Functions
- Demand for risky assets and the monotone probability ratio order
- Demand for risky financial assets: A portfolio analysis
- Enhanced indexation based on second-order stochastic dominance
- General linear formulations of stochastic dominance criteria
- Higher-degree stochastic dominance optimality and efficiency
- Higher-order generalizations of Arrow-Pratt and Ross risk aversion: a comparative statics approach
- scientific article; zbMATH DE number 765034 (Why is no real title available?)
- Loss-averse preferences and portfolio choices: an extension
- Maxmin expected utility with non-unique prior
- Modeling attitudes towards uncertainty and risk through the use of Choquet integral
- On relative and partial risk attitudes: theory and implications
- Optimal Portfolios with One Safe and One Risky Asset: Effects of Changes in Rate of Return and Risk
- Option implied ambiguity and its information content: evidence from the subprime crisis
- Ordering ambiguous acts
- Portfolio choices and asset prices: the comparative statics of ambiguity aversion
- PORTFOLIO SELECTION PROBLEMS VIA THE BIVARIATE CHARACTERIZATION OF STOCHASTIC DOMINANCE RELATIONS
- Prospect Theory: An Analysis of Decision under Risk
- Relative risk aversion: what do we know?
- Revisiting precautionary saving under ambiguity
- Risk analysis and decision theory: a bridge
- Risk Aversion in the Small and in the Large
- Risk, ambiguity and the Savage axioms
- Risk, Ambiguity, and the Separation of Utility and Beliefs
- Stochastic Dominance and Expected Utility: Survey and Analysis
- Subjective Probability and Expected Utility without Additivity
- Testing Statistical Hypotheses
- The Effects of Shifts in a Return Distribution on Optimal Portfolios
- The Ellsberg Paradox and Risk Aversion: An Anticipated Utility Approach
Cited in
(14)- The asset allocation puzzle is still a puzzle
- On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
- More possessions, more worry
- Optimal investment under ambiguous technology shocks
- Robust investment strategies with two risky assets
- Second-order uncertainty and naive diversification
- Optimal portfolio with vector expected utility
- Alpha as ambiguity: robust mean-variance portfolio analysis
- Optimal asset allocation: risk and information uncertainty
- UNCERTAINTY AVERSION, ROBUST CONTROL AND ASSET HOLDINGS WITH A STOCHASTIC INVESTMENT OPPORTUNITY SET
- Uncertainty aversion, robust control and asset holdings
- Optimal investment-consumption and life insurance strategy with mispricing and model ambiguity
- Mean-preserving capacities: a tractable class of Choquet capacities
- Portfolio inertia under ambiguity
This page was built for publication: Portfolio allocation problems between risky and ambiguous assets
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2288958)
