Equilibrium in an ambiguity-averse mean-variance investors market

DOI10.1016/J.EJOR.2014.02.016MaRDI QIDQ296609zbMATH OpenOpenAlexFDO

Authors Mustafa Ç. Pınar

Publication date 23 June 2016

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ejor.2014.02.016

zbMATH Keywords

robust optimizationellipsoidal uncertaintyequilibrium price systemmean-variance portfolio theory

Mathematics Subject Classification ID

Portfolio theory (91G10)

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Cites work

• scientific article; zbMATH DE number 51121 (Why is no real title available?)
• scientific article; zbMATH DE number 734930 (Why is no real title available?)
• A Smooth Model of Decision Making under Ambiguity
• A minimax portfolio selection strategy with equilibrium
• A note on a minimax rule for portfolio selection and equilibrium price system
• Asset Market Equilibrium with Short-Selling
• Capital asset pricing model (CAPM) with drawdown measure
• EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
• Equilibrium in CAPM without a Riskless Asset
• Equilibrium relations in a capital asset market: A mean absolute deviation approach
• Equilibrium theory with satiable and non-ordered preferences
• Fundamentals of convex analysis. Duality, separation, representation, and resolution
• Optimal risk sharing with general deviation measures
• Recursive smooth ambiguity preferences
• Robust convex optimization
• Robust solutions of uncertain linear programs
• Sensitivity Analysis for Mean-Variance Portfolio Problems

Cited in

(5)

• Equilibria in the capital market with non-homogeneous investors
• THE RELATION BETWEEN INVESTOR'S GREEDINESS AND THE ASSET PRICE IN THE MEAN-VARIANCE MARKET
• Equilibrium in securities markets with heterogeneous investors and unspanned income risk
• An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
• An additive model of decision making under risk and ambiguity

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