assets - and Markowitz - who advocates diversification across assets. We rely on the concepts of ambiguity and ambiguity … degree of ambiguity across assets, and (ii) the standard deviation of the estimate of expected return on each asset. If the … standard deviation of the expected return estimate and the difference between the ambiguity about familiar and unfamiliar …

asset returns. Our contribution is to develop a framework that allows for ambiguity about the joint distribution of returns … for all stocks being considered for the portfolio, and also for different levels of ambiguity for the marginal … international equity returns. The calibration shows that when the overall ambiguity about the joint distribution of returns is high …

This study presents a hedge fund portfolio choice model for an investor facing ambiguity. In the empirical section, we … measure ambiguity as the cross-sectional dispersion in Industrial Production growth and in stock market return forecasts, and … we construct the systematic ambiguity factors from the universe of S&P 500 stocks. We estimate ambiguity betas for long …