This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

Uncertainty Aversion and Robust Portfolio Choices

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Giannis Vardas (Department of Economics, University of Crete, Greece)
Anastasios Xepapadeas () (Department of Economics, University of Crete, Greece)

Additional information is available for the following registered author(s):

Abstract

Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust control problem. Using a power utility function of the form C with 0 < < 1; we present the solution of the robust portfolio choice problem in the cases of one and two risky assets. In particular, for two risky assets and one risk-free asset case, we con…rm our earlier theoretical result [30], that under uncertainty aversion the total holdings of risky assets as a proportion of the investor’s wealth could increase as compared to the holdings under the Merton rule, which is the standard risk aversion case.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help file. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.soc.uoc.gr/econ/wpa/docs/revisedcopyofekonomia3.pdf
File Format: application/pdf
File Function: First version
Download Restriction: no

Publisher Info
Paper provided by University of Crete, Department of Economics in its series Working Papers with number 0408.

Download reference. The following formats are available: HTML, plain text, BibTeX, RIS (EndNote), ReDIF
Length: 29 pages
Date of creation: 29 Oct 2004
Date of revision:
Handle: RePEc:crt:wpaper:0408

Contact details of provider:
Postal: Gallos - Rethymno 74100
Phone: +30 831 77405
Fax: +30 831 77406
Web page: http://www.soc.uoc.gr/econ/
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Kostis Pigounakis).

Related research
Keywords: Uncertainty Aversion Model Misspeci…cation Robust Control Portfolio Choice Models

Other versions of this item:

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:

  1. Larry G. Epstein & JianJun Miao, 2001. "A Two-Person Dynamic Equilibrium under Ambiguity," RCER Working Papers 478, University of Rochester - Center for Economic Research (RCER). [Downloadable!]
    Other versions:
  2. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March. [Downloadable!] (restricted)
  3. repec:att:wimass:192028 is not listed on IDEAS
  4. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April. [Downloadable!] (restricted)
  5. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September. [Downloadable!] (restricted)
  6. Catarina Roseta-Palma & Anastasios Xepapadeas, 2004. "Robust Control in Water Management," Journal of Risk and Uncertainty, Springer, vol. 29(1), pages 21-34, 07. [Downloadable!]
  7. Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion, Robust Control and Asset Holdings," Working Papers 0402, University of Crete, Department of Economics. [Downloadable!]
    Other versions:
  8. Merton, Robert C., 1971. "Optimum consumption and portfolio rules in a continuous-time model," Journal of Economic Theory, Elsevier, vol. 3(4), pages 373-413, December. [Downloadable!] (restricted)
    Other versions:
  9. William A. Brock & Steven N. Durlauf & Kenneth D. West, 2003. "Policy Evaluation in Uncertain Economic Environments," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 34(2003-1), pages 235-322. [Downloadable!]
    Other versions:
  10. repec:att:wimass:1920315 is not listed on IDEAS
  11. Zengjing Chen & Larry Epstein, 2002. "Ambiguity, Risk, and Asset Returns in Continuous Time," Econometrica, Econometric Society, vol. 70(4), pages 1403-1443, July. [Downloadable!] (restricted)
    Other versions:
  12. Lars Peter Hansen & Thomas J. Sargent, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 60-66, May. [Downloadable!] (restricted)
  13. Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," NBER Working Papers 9566, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  14. repec:att:wimass:1920325 is not listed on IDEAS
  15. Alexei Onatski & James H. Stock, 2000. "Robust Monetary Policy Under Model Uncertainty in a Small Model of the U.S. Economy," NBER Working Papers 7490, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  16. Soderstrom, Ulf, 2002. " Monetary Policy with Uncertain Parameters," Scandinavian Journal of Economics, Blackwell Publishing, vol. 104(1), pages 125-45. [Downloadable!] (restricted)
    Other versions:
Full references

Statistics
Access and download statistics

Did you know? IDEAS also indexes book chapters.

This page was last updated on 2008-7-4.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.