Alpha as ambiguity: robust mean-variance portfolio analysis
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Publication:2857583
DOI10.3982/ECTA9678zbMATH Open1274.91147OpenAlexW3122121999MaRDI QIDQ2857583FDOQ2857583
Authors: Massimo Marinacci, Doriana Ruffino, Fabio Maccheroni 
Publication date: 4 November 2013
Published in: Econometrica (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.3982/ecta9678
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- Ambiguity premium and transaction costs
- Belief hedges: Measuring ambiguity for all events and all models
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- Robust utility maximization of terminal wealth with drift and volatility uncertainty
- Time-consistency of optimal investment under smooth ambiguity
- Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data
- A volatility smile-based uncertainty index
- Decision making in phantom spaces
- Equilibrium in an ambiguity-averse mean-variance investors market
- Ordering ambiguous acts
- Mean‐ portfolio selection and ‐arbitrage for coherent risk measures
- Portfolio allocation problems between risky and ambiguous assets
- The price for information about probabilities and its relation with risk and ambiguity
- Smart Alpha: active management with unstable and latent factors
- Decision analysis under ambiguity
- Risk aversion and the value of diagnostic tests
- New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
- Optimal Portfolio Choice Based on α-MEU Under Ambiguity
- Decreasing aversion under ambiguity
- Crisp monetary acts in multiple-priors models of decision under ambiguity
- Observational equivalence and nonequivalence of subjective and robust mean-variance preferences
- Portfolio concentration, portfolio inertia, and ambiguous correlation
- An additive model of decision making under risk and ambiguity
- Optimal insurance design of ambiguous risks
- TRADING AMBIGUITY: A TALE OF TWO HETEROGENEITIES
- Understanding dynamic mean variance asset allocation
- Optimal portfolio with vector expected utility
- A simple robust asset pricing model under statistical ambiguity
- Beyond uncertainty aversion
- Ambiguity and informativeness of (non-)trading
- The robust Merton problem of an ambiguity averse investor
- Expected utility with uncertain probabilities theory
- Dynamic currency hedging with non-Gaussianity and ambiguity
- Ambiguity in asset pricing and portfolio choice: a review of the literature
- Portfolio selections under mean-variance preference with multiple priors for means and variances
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