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

DOI10.1016/J.ECONLET.2014.05.019zbMATH Open1302.91069OpenAlexW2088934299MaRDI QIDQ485584FDOQ485584

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

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zbMATH Keywords

ambiguity aversionasset pricingrobust mean-variance preferences

Mathematics Subject Classification ID

Individual preferences (91B08)

Cites Work

• Maxmin expected utility with non-unique prior
• Risk, ambiguity and the Savage axioms
• A Smooth Model of Decision Making under Ambiguity
• Title not available (Why is that?)
• Alpha as ambiguity: robust mean-variance portfolio analysis
• Intertemporal Asset Pricing under Knightian Uncertainty

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