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Reward-risk portfolio selection and stochastic dominance

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Model Uncertainty, Ambiguity Aversion, and Market Participation

Hirshleifer, David - 2017

equilibrium model with a fund offering the risk-adjusted market portfolio (RAMP), ambiguity averse investors hold the fund and an … optimal portfolio based on only one information source (price versus private signal). Asset risk premia satisfy the CAPM with …

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How does background risk affect portfolio choice : an analysis based on uncertain mean-variance model with background risk

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Equilibrium prices and trade under ambiguous volatility

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The gradient allocation principle based on the higher moment risk measure

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Sustainability and its relation to efficiency under uncertainty

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The 1/N investment strategy is optimal under high model ambiguity

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Robust portfolio choice with ambiguity and learning about return predictability

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Robust portfolio choice with derivative trading under stochastic volatility

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