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General uncertainty in portfolio selection: A case-based decision approach

Listed author(s):
  • Golosnoy, Vasyl
  • Okhrin, Yarema

No abstract is available for this item.

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File URL: http://www.sciencedirect.com/science/article/pii/S0167-2681(07)00170-9
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Article provided by Elsevier in its journal Journal of Economic Behavior & Organization.

Volume (Year): 67 (2008)
Issue (Month): 3-4 (September)
Pages: 718-734

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Handle: RePEc:eee:jeborg:v:67:y:2008:i:3-4:p:718-734
Contact details of provider: Web page: http://www.elsevier.com/locate/jebo

References listed on IDEAS
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  1. David Schmeidler, 2000. "Utility in Case-Based Decision Theory," Working Papers 00-06, Ohio State University, Department of Economics.
  2. Antoine Billot & Itzhak Gilboa & Dov Samet & David Schmeidler, 2005. "Probabilities as Similarity-Weighted Frequencies," Econometrica, Econometric Society, vol. 73(4), pages 1125-1136, 07.
  3. Oechssler, Jorg, 2002. "Cooperation as a result of learning with aspiration levels," Journal of Economic Behavior & Organization, Elsevier, vol. 49(3), pages 405-409, November.
  4. Lubo Pástor, "undated". "Portfolio Selection and Asset Pricing Models," CRSP working papers 498, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  5. Olivier Ledoit & Pedro Santa Clara & Michael Wolf, 2001. "Flexible multivariate GARCH modeling with an application to international stock markets," Economics Working Papers 578, Department of Economics and Business, Universitat Pompeu Fabra.
  6. Lubos Pastor & Robert F. Stambaugh, 1999. "Comparing Asset Pricing Models: An Investment Perspective," NBER Working Papers 7284, National Bureau of Economic Research, Inc.
  7. Tilman Börgers & Rajiv Sarin, "undated". "Naive Reinforcement Learning With Endogenous Aspiration," ELSE working papers 037, ESRC Centre on Economics Learning and Social Evolution.
  8. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
  9. Kumar, Praveen, 2006. "Learning about investment risk: The effects of structural uncertainty on dynamic investment and consumption," Journal of Economic Behavior & Organization, Elsevier, vol. 60(2), pages 205-229, June.
  10. Olivier Ledoit & Michael Wolf, 2001. "Improved estimation of the covariance matrix of stock returns with an application to portofolio selection," Economics Working Papers 586, Department of Economics and Business, Universitat Pompeu Fabra.
  11. Garlappi, Lorenzo & Uppal, Raman & Wang, Tan, 2005. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," CEPR Discussion Papers 5041, C.E.P.R. Discussion Papers.
  12. Ravi Jagannathan & Tongshu Ma, 2003. "Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps," Journal of Finance, American Finance Association, vol. 58(4), pages 1651-1684, 08.
  13. Zhenyu Wang, 2005. "A Shrinkage Approach to Model Uncertainty and Asset Allocation," Review of Financial Studies, Society for Financial Studies, vol. 18(2), pages 673-705.
  14. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  15. David Schmeidler & Itzhak Gilboa, 1996. "A Cognitive Model of Individual Well-Being," Working Papers 029, Ohio State University, Department of Economics.
  16. Itzhak Gilboa & David Schmeidler, 1997. "Cumulative Utility and Consumer Theory," Post-Print hal-00753137, HAL.
  17. Hanaki, Nobuyuki & Sethi, Rajiv & Erev, Ido & Peterhansl, Alexander, 2005. "Learning strategies," Journal of Economic Behavior & Organization, Elsevier, vol. 56(4), pages 523-542, April.
  18. MacLeod, W. Bentley & Pingle, Mark, 2005. "Aspiration uncertainty: its impact on decision performance and process," Journal of Economic Behavior & Organization, Elsevier, vol. 56(4), pages 617-629, April.
  19. Vasyl Golosnoy & Yarema Okhrin, 2007. "Multivariate Shrinkage for Optimal Portfolio Weights," The European Journal of Finance, Taylor & Francis Journals, vol. 13(5), pages 441-458.
  20. Klein, Roger W. & Bawa, Vijay S., 1976. "The effect of estimation risk on optimal portfolio choice," Journal of Financial Economics, Elsevier, vol. 3(3), pages 215-231, June.
  21. Matsui, Akihiko, 2000. "Expected utility and case-based reasoning," Mathematical Social Sciences, Elsevier, vol. 39(1), pages 1-12, January.
  22. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
  23. Tu, Jun & Zhou, Guofu, 2004. "Data-generating process uncertainty: What difference does it make in portfolio decisions?," Journal of Financial Economics, Elsevier, vol. 72(2), pages 385-421, May.
  24. Blonski, Matthias, 1999. "Social learning with case-based decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 38(1), pages 59-77, January.
  25. Itzhak Gilboa & David Schmeidler, 1989. "Maxmin Expected Utility with Non-Unique Prior," Post-Print hal-00753237, HAL.
  26. Itzhak Gilboa & David Schmeidler, 1992. "Case-Based Decision Theory," Discussion Papers 994, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  27. Nicholas Barberis & Richard Thaler, 2002. "A Survey of Behavioral Finance," NBER Working Papers 9222, National Bureau of Economic Research, Inc.
  28. Dequech, David, 2006. "The new institutional economics and the theory of behaviour under uncertainty," Journal of Economic Behavior & Organization, Elsevier, vol. 59(1), pages 109-131, January.
  29. Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
  30. Thomas J. Sargent & LarsPeter Hansen, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 60-66, May.
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