Observational equivalence and nonequivalence of subjective and robust mean-variance preferences

DOI10.1016/J.ECONLET.2014.05.019MaRDI QIDQ485584zbMATH OpenOpenAlexFDO

Authors Katsutoshi Wakai

Publication date 12 January 2015

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.econlet.2014.05.019

zbMATH Keywords

ambiguity aversionasset pricingrobust mean-variance preferences

Mathematics Subject Classification ID

Individual preferences (91B08)

Recommendations

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Cites work

• scientific article; zbMATH DE number 3087284 (Why is no real title available?)
• A Smooth Model of Decision Making under Ambiguity
• Alpha as ambiguity: robust mean-variance portfolio analysis
• Intertemporal Asset Pricing under Knightian Uncertainty
• Maxmin expected utility with non-unique prior
• Risk, ambiguity and the Savage axioms

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