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Parameter Uncertainty in Asset Allocation

Harvey, Campbell R.; Liechty, John C.; Liechty, Merrill W. - In: The Oxford handbook of quantitative asset management. 2012

Persistent link: https://www.econbiz.de/10012882309

Model uncertainty on commodity portfolios, the role of convenience yield

Chen, Junhe; Escobar, Marcos - In: Annals of finance 17 (2021) 4, pp. 501-528

Persistent link: https://www.econbiz.de/10012664148

A Portfolio Approach to Policymaking Uncertainty

Turk, Matthew C. - 2021

on the leading theory of financial investment under uncertainty—Modern Portfolio Theory—it will show that the primary … at issue. As this article further argues, insights from Modern Portfolio Theory do more than provide guidance on how the … presence of policymaking uncertainty, which implicitly tracks the diversification principles underlying Modern Portfolio Theory …

Persistent link: https://www.econbiz.de/10014089071

Portfolio Inertia Under Ambiguity

Asano, Takao - 2004

We consider individual's portfolio selection problems. Introducing the concept of ambiguity, we show the existence of portfolio inertia under the assumptions that decision maker's beliefs are captured by an inner measure, and that her preferences are represented by the Choquet integral with...

Persistent link: https://www.econbiz.de/10014070834

Second-Order Uncertainty and Naive Diversification

Mahmoud, Ola - 2022

Abstract. This paper introduces a new model for decision making under ambiguity in the context of asset allocation called second-order uncertainty. I propose a quantification of uncertainty without ranking or evaluation of possible outcomes. Faced with a collection of choice alternatives, the...

Persistent link: https://www.econbiz.de/10013298045

Implied ambiguity : mean-variance inefficiency and pricing errors

Hara, Chiaki; Honda, Toshiki - In: Management science : journal of the Institute for … 68 (2022) 6, pp. 4246-4260

Persistent link: https://www.econbiz.de/10013369050

Second-order uncertainty and naive diversification

Mahmoud, Ola - In: Economics letters 216 (2022), pp. 1-4

Persistent link: https://www.econbiz.de/10013448330

Sustainable investing with ESG rating uncertainty

Avramov, Doron; Cheng, Si; Lioui, Abraham; Tarelli, Andrea - In: Journal of financial economics 145 (2022) 2,2, pp. 642-664

Persistent link: https://www.econbiz.de/10013474428

Parameter Uncertainty in Asset Allocation

Harvey, Campbell R. - 2010

We revisit an investment experiment that compares the performance of an investor using Bayesian methods for determining portfolio weights with an investor that uses the Monte Carlo based resampling approach advocated in Michaud (1998). Markowitz and Usmen (2003) showed that the Michaud investor...

Persistent link: https://www.econbiz.de/10013149774

Active or passive portfolio : a tracking error analysis under uncertainty theory

Yang, Tingting; Huang, Xiaoxia - In: International review of economics & finance : IREF 80 (2022), pp. 309-326

Persistent link: https://www.econbiz.de/10013342014