Portfolio selections under mean-variance preference with multiple priors for means and variances
Year of publication: |
February 2017
|
---|---|
Authors: | Shigeta, Yuki |
Published in: |
Annals of finance. - Berlin : Springer, ISSN 1614-2446, ZDB-ID 2174824-X. - Vol. 13.2017, 1, p. 97-124
|
Subject: | The global minimum-variance portfolio | Ambiguity aversion | Multiple priors | Maxmin expected utility model | Mean-variance preference | The equally weighted portfolio | Portfolio-Management | Portfolio selection | Erwartungsnutzen | Expected utility | Risikoaversion | Risk aversion | Entscheidung unter Unsicherheit | Decision under uncertainty | Präferenztheorie | Theory of preferences |
-
Ambiguity sensitive preferences in Ellsberg frameworks
Ravanelli, Claudia, (2019)
-
Allais, Ellsberg, and preferences for hedging
Dean, Mark, (2017)
-
Allais, Ellsberg, and preferences for hedging
Dean, Mark, (2017)
- More ...
-
The change of correlation structure across industries:an analysis in the regime-switching framework
Egami, Masahiko, (2014)
-
Quasi-Hyperbolic Discounting under Recursive Utility and Consumption-Investment Decisions
Shigeta, Yuki, (2020)
-
Gain/loss asymmetric stochastic differential utility
Shigeta, Yuki, (2020)
- More ...