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Uncertainty Aversion and Robust Portfolio Choices

  • Giannis Vardas

    (Department of Economics, University of Crete, Greece)

  • Anastasios Xepapadeas


    (Department of Economics, University of Crete, Greece)

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

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

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Length: 29 pages
Date of creation: 29 Oct 2004
Date of revision:
Handle: RePEc:crt:wpaper:0408
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  1. Giannis Vardas & Anastasios Xepapadeas, 2015. "Uncertainty aversion, robust control and asset holdings," Quantitative Finance, Taylor & Francis Journals, vol. 15(3), pages 477-491, March.
  2. Alexei Onatski & Noah Williams, 2003. "Modeling Model Uncertainty," Journal of the European Economic Association, MIT Press, vol. 1(5), pages 1087-1122, 09.
  3. Söderström, Ulf, 1999. "Monetary policy with uncertain parameters," SSE/EFI Working Paper Series in Economics and Finance 308, Stockholm School of Economics.
  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.
  5. 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.
  6. 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).
  7. Brock,W.A. & Durlauf,S.N., 2003. "Elements of a theory of design limits to optimal policy," Working papers 25, Wisconsin Madison - Social Systems.
  8. Thomas J. Sargent & LarsPeter Hansen, 2001. "Robust Control and Model Uncertainty," American Economic Review, American Economic Association, vol. 91(2), pages 60-66, May.
  9. Brock,W.A. & Durlauf,S.N. & West,K.D., 2003. "Policy evaluation in uncertain economic environments," Working papers 15, Wisconsin Madison - Social Systems.
  10. Zengjing Chen & Larry G. Epstein, 2000. "Ambiguity, risk and asset returns in continuous time," RCER Working Papers 474, University of Rochester - Center for Economic Research (RCER).
  11. Epstein, Larry G & Wang, Tan, 1994. "Intertemporal Asset Pricing Under Knightian Uncertainty," Econometrica, Econometric Society, vol. 62(2), pages 283-322, March.
  12. Merton, Robert C, 1973. "An Intertemporal Capital Asset Pricing Model," Econometrica, Econometric Society, vol. 41(5), pages 867-87, September.
  13. 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.
  14. Catarina Roseta-Palma & Anastasios Xepapadeas, 2004. "Robust Control in Water Management," Journal of Risk and Uncertainty, Springer, vol. 29(1), pages 21-34, 07.
  15. Brock,W. & Xepapadeas,A., 2002. "Regulating nonlinear environmental systems under Knightian uncertainty," Working papers 8, Wisconsin Madison - Social Systems.
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