Dlugosch, Dennis; Horn, Kristian; Wang, Mei - 2014 - This version: April 6, 2014
ambiguous urn. Holding other information identical and controlling for the level of ambiguity, we find that labeling assets as … ambiguity robust mean-variance model accurately predicts benchmark portfolio weights of the experimental control group, where … assets are not labeled: subjects allocate more wealth to assets with low ambiguity. For treatment group portfolios, which …