Implied ambiguity : mean-variance inefficiency and pricing errors
Chiaki Hara, Toshiki Honda
| Year of publication: |
2022
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|---|---|
| Authors: | Hara, Chiaki ; Honda, Toshiki |
| Published in: |
Management science : journal of the Institute for Operations Research and the Management Sciences. - Hanover, Md. : INFORMS, ISSN 1526-5501, ZDB-ID 2023019-9. - Vol. 68.2022, 6, p. 4246-4260
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| Subject: | ambiguity | CAPM | mutual fund theorem | optimal portfolio | pricing errors | Sharpe ratio | smooth ambiguity model | Theorie | Theory | Portfolio-Management | Portfolio selection | Entscheidung unter Unsicherheit | Decision under uncertainty | Investmentfonds | Investment Fund | Risikoaversion | Risk aversion | Kapitaleinkommen | Capital income | Risiko | Risk |
Online Resource
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1287/mnsc.2021.4097 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10013369050