Equilibrium in an ambiguity-averse mean-variance investors market
From MaRDI portal
Publication:296609
DOI10.1016/J.EJOR.2014.02.016zbMATH Open1338.91136OpenAlexW1992777482MaRDI QIDQ296609FDOQ296609
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
Recommendations
- Informational efficiency with ambiguous information
- Asset prices in an ambiguous economy
- Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity
- Robustness and Ambiguity Aversion in General Equilibrium *
- Alpha as ambiguity: robust mean-variance portfolio analysis
Cites Work
- Title not available (Why is that?)
- A Smooth Model of Decision Making under Ambiguity
- Recursive smooth ambiguity preferences
- Robust solutions of uncertain linear programs
- Robust convex optimization
- Sensitivity Analysis for Mean-Variance Portfolio Problems
- Title not available (Why is that?)
- Equilibrium relations in a capital asset market: A mean absolute deviation approach
- A note on a minimax rule for portfolio selection and equilibrium price system
- Fundamentals of convex analysis. Duality, separation, representation, and resolution
- A minimax portfolio selection strategy with equilibrium
- Optimal risk sharing with general deviation measures
- Capital asset pricing model (CAPM) with drawdown measure
- Equilibrium in CAPM without a Riskless Asset
- EXISTENCE OF A NONNEGATIVE EQUILIBRIUM PRICE VECTOR IN THE MEAN-VARIANCE CAPITAL MARKET
- Asset Market Equilibrium with Short-Selling
- Equilibrium theory with satiable and non-ordered preferences
Cited In (5)
- Equilibria in the capital market with non-homogeneous investors
- Equilibrium in securities markets with heterogeneous investors and unspanned income risk
- An additive model of decision making under risk and ambiguity
- THE RELATION BETWEEN INVESTOR'S GREEDINESS AND THE ASSET PRICE IN THE MEAN-VARIANCE MARKET
- An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution
This page was built for publication: Equilibrium in an ambiguity-averse mean-variance investors market
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q296609)
