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Uncertainty Aversion and Robust Portfolio Choices

Author

Listed:
  • Giannis Vardas

    (Department of Economics, University of Crete, Greece)

  • Anastasios Xepapadeas

    (Department of Economics, University of Crete, Greece)

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

Suggested Citation

  • Giannis Vardas & Anastasios Xepapadeas, 2004. "Uncertainty Aversion and Robust Portfolio Choices," Working Papers 0408, University of Crete, Department of Economics.
  • Handle: RePEc:crt:wpaper:0408
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    File URL: http://economics.soc.uoc.gr/wpa/docs/revisedcopyofekonomia3.pdf
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    References listed on IDEAS

    as
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    2. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-887, September.
    3. Giannis Vardas & Anastasios Xepapadeas, 2015. "Uncertainty aversion, robust control and asset holdings," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 477-491, March.
    4. Lars Peter Hansen & Thomas J Sargent, 2014. "Robust Control and Model Uncertainty," World Scientific Book Chapters, in: UNCERTAINTY WITHIN ECONOMIC MODELS, chapter 5, pages 145-154, World Scientific Publishing Co. Pte. Ltd..
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    14. Brock,W. & Xepapadeas,A., 2002. "Regulating nonlinear environmental systems under Knightian uncertainty," Working papers 8, Wisconsin Madison - Social Systems.
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    Cited by:

    1. Pierpaolo Benigno & Salvatore Nisticò, 2012. "International Portfolio Allocation under Model Uncertainty," American Economic Journal: Macroeconomics, American Economic Association, vol. 4(1), pages 144-189, January.

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    More about this item

    Keywords

    Uncertainty Aversion; Model Misspeci…cation; Robust Control; Portfolio Choice Models;
    All these keywords.

    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

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