Ambiguous correlation

DOI10.1093/RESTUD/RDY008MaRDI QIDQ5113191zbMATH OpenOpenAlexFDO

Authors Larry G. Epstein, Yoram Halevy

Publication date 3 June 2020

Published in Review of Economic Studies (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/restud/rdy008

zbMATH Keywords

ambiguityconfidencecorrelation neglectEllsberg paradoxpreference elicitation

Mathematics Subject Classification ID

Experimental studies (91A90) Decision theory (91B06)

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(13)

• Robust state-dependent mean-variance portfolio selection: a closed-loop approach
• Combining forecasts in the presence of ambiguity over correlation structures
• Comparing ambiguous urns with different sizes
• Uncertainty and compound lotteries: calibration
• Robust investment strategies with two risky assets
• Robust portfolio optimization with respect to spectral risk measures under correlation uncertainty
• Portfolio concentration, portfolio inertia, and ambiguous correlation
• Correlated beliefs: predicting outcomes in \(2\times 2\) games
• Robust consumption-investment with return ambiguity: a dual approach with volatility ambiguity
• Ellsberg meets Keynes at an urn
• Source dependence in effort provision
• Correlation concern
• Ambiguity overprecision and optimal capital requirements in continuous time

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