Asset Allocation with Aversion to Parameter Uncertainty: A Minimax Regression Approach
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KeywordsAsset allocation; estimation error; aversion to uncertainty; min-imax regression; Bayesian mean-variance portfolios; least favorable prior;
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2011-02-05 (All new papers)
- NEP-ECM-2011-02-05 (Econometrics)
- NEP-UPT-2011-02-05 (Utility Models & Prospect Theory)
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