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

We identify the conditions where robust mean–variance preferences, which capture ambiguity aversion, are observationally nonequivalent to subjective mean–variance preferences. Conversely, we also provide an example showing that observational equivalence holds regardless of the degree of ambiguity aversion.

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Year of publication:	2014
Authors:	Wakai, Katsutoshi
Published in:	Economics Letters. - Elsevier, ISSN 0165-1765. - Vol. 124.2014, 2, p. 219-221
Publisher:	Elsevier
Subject:	Ambiguity aversion \| Asset pricing \| Robust mean–variance preferences

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Type of publication:	Article
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; G11 - Portfolio Choice
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010933288