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Keynes meets Markowitz : the trade-off between familiarity and diversification
Boyle, Phelim P.; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: Management science : journal of the Institute for … 58 (2012) 2, pp. 253-272
Persistent link: https://www.econbiz.de/10009512174
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Portfolio selection with parameter and model uncertainty : a multi-prior approach
Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: The review of financial studies 20 (2007) 1, pp. 41-81
Persistent link: https://www.econbiz.de/10003403673
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Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification
Boyle, Phelim; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: Management Science 58 (2012) 2, pp. 253-272
We develop a model of portfolio choice to nest the views of Keynes, who advocates concentration in a few familiar assets, and Markowitz, who advocates diversification. We use the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets. The...
Persistent link: https://www.econbiz.de/10010990532
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: The review of financial studies 20 (2007) 1, pp. 41-82
Persistent link: https://www.econbiz.de/10007392366
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: The review of financial studies 20 (2007) 1, pp. 41
Persistent link: https://www.econbiz.de/10007392367
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: The review of financial studies 20 (2007) 1, pp. 41
Persistent link: https://www.econbiz.de/10007392368
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: The review of financial studies 20 (2007) 1, pp. 41
Persistent link: https://www.econbiz.de/10007392369
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: The review of financial studies 20 (2007) 1, pp. 41
Persistent link: https://www.econbiz.de/10007392370
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Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: The review of financial studies 20 (2013) 1, pp. 41-40
Persistent link: https://www.econbiz.de/10010113812
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Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification
Boyle, Phelim; Garlappi, Lorenzo; Uppal, Raman; Wang, Tan - In: Management science : journal of the Institute for … 58 (2012) 2, pp. 253-273
Persistent link: https://www.econbiz.de/10009833252