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

  • 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

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  1. Ledoit, Olivier & Santa-Clara, Pedro & Wolf, Michael, 1999. "Flexible Multivariate GARCH Modeling With an Application to International Stock Markets," University of California at Los Angeles, Anderson Graduate School of Management qt93s6p8gb, Anderson Graduate School of Management, UCLA.
  2. Pastor, Lubos & Stambaugh, Robert F., 2000. "Comparing asset pricing models: an investment perspective," Journal of Financial Economics, Elsevier, vol. 56(3), pages 335-381, June.
  3. Gilboa, Itzhak & Schmeidler, David, 1989. "Maxmin expected utility with non-unique prior," Journal of Mathematical Economics, Elsevier, vol. 18(2), pages 141-153, April.
  4. 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.
  5. Jörg Oechssler, 2001. "Cooperation as a Result of Learning with Aspiration Levels," Bonn Econ Discussion Papers bgse8_2001, University of Bonn, Germany.
  6. Nobuyuki Hanaki & Rajiv Sethi & Ido Erev & Alexander Peterhansl, 2002. "Learning Strategies," Game Theory and Information 0211004, EconWPA.
  7. Gilboa, Itzhak & Schmeidler, David & Wakker, Peter P., 2002. "Utility in Case-Based Decision Theory," Journal of Economic Theory, Elsevier, vol. 105(2), pages 483-502, August.
  8. Grauer, Robert R. & Shen, Frederick C., 2000. "Do constraints improve portfolio performance?," Journal of Banking & Finance, Elsevier, vol. 24(8), pages 1253-1274, August.
  9. T. Borgers & R. Sarin, 2010. "Naïve Reinforcement Learning With Endogenous Aspirations," Levine's Working Paper Archive 381, David K. Levine.
  10. Raman Uppal & Lorenzo Garlappi & Tan Wang, 2004. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," Money Macro and Finance (MMF) Research Group Conference 2004 54, Money Macro and Finance Research Group.
  11. Itzhak Gilboa & David Schmeidler, 1997. "Cumulative Utility and Consumer Theory," Post-Print hal-00753137, HAL.
  12. 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.
  13. Lubo Pástor, . "Portfolio Selection and Asset Pricing Models," CRSP working papers 356, Center for Research in Security Prices, Graduate School of Business, University of Chicago.
  14. Antoine Billot & Itzhak Gilboa & David Schmeidler & Dov Samet, 2004. "Probabilities as Similarity-Weighted Frequencies," Cowles Foundation Discussion Papers 1492, Cowles Foundation for Research in Economics, Yale University.
  15. Itzhak Gilboa & David Schmeidler, 1992. "Case-Based Decision Theory," Discussion Papers 994, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  16. Itzhak Gilboa & David Schmeidler, 2001. "A cognitive model of individual well-being," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 18(2), pages 269-288.
  17. 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.
  18. Amos Tversky & Daniel Kahneman, 1979. "Prospect Theory: An Analysis of Decision under Risk," Levine's Working Paper Archive 7656, David K. Levine.
  19. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
  20. Avramov, Doron, 2002. "Stock return predictability and model uncertainty," Journal of Financial Economics, Elsevier, vol. 64(3), pages 423-458, June.
  21. Nicholas Barberis & Richard Thaler, 2002. "A Survey of Behavioral Finance," NBER Working Papers 9222, National Bureau of Economic Research, Inc.
  22. Matsui, Akihiko, 2000. "Expected utility and case-based reasoning," Mathematical Social Sciences, Elsevier, vol. 39(1), pages 1-12, January.
  23. 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.
  24. 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.
  25. Blonski, Matthias, 1999. "Social learning with case-based decisions," Journal of Economic Behavior & Organization, Elsevier, vol. 38(1), pages 59-77, January.
  26. Thomas J. Sargent & LarsPeter Hansen, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 60-66, May.
  27. 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.
  28. 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.
  29. 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.
  30. 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.
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