IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Log in (now much improved!)

Citations for "Model Misspecification and Under-Diversification"

by Uppal, Raman & Wang, Tan

For a complete description of this item, click here. For a RSS feed for citations of this item, click here.
as
in new window


  1. Branger, Nicole & Mahayni, Antje & Zieling, Daniel, 2015. "Robustness of stable volatility strategies," Journal of Economic Dynamics and Control, Elsevier, vol. 60(C), pages 134-151.
  2. Rhys Bidder & Ian Dew-Becker, 2016. "Long-Run Risk Is the Worst-Case Scenario," American Economic Review, American Economic Association, vol. 106(9), pages 2494-2527, September.
  3. Nengjiu Ju & Jianjun Miao, 2012. "Ambiguity, Learning, and Asset Returns," Econometrica, Econometric Society, vol. 80(2), pages 559-591, 03.
  4. Larry G. Epstein & Martin Schneider, 2010. "Ambiguity and Asset Markets," Annual Review of Financial Economics, Annual Reviews, vol. 2(1), pages 315-346, December.
  5. Luo, Yulei, 2015. "Robustly Strategic Consumption-Portfolio Rules with Informational Frictions," MPRA Paper 64312, University Library of Munich, Germany.
  6. Escobar, Marcos & Ferrando, Sebastian & Rubtsov, Alexey, 2015. "Robust portfolio choice with derivative trading under stochastic volatility," Journal of Banking & Finance, Elsevier, vol. 61(C), pages 142-157.
  7. Ganguli, Jayant & Condie, Scott & Illeditsch, Philipp Karl, 2012. "Information Inertia," Economics Discussion Papers 5628, University of Essex, Department of Economics.
  8. Enrico G. De Giorgi & Ola Mahmoud, 2016. "Diversification preferences in the theory of choice," Decisions in Economics and Finance, Springer;Associazione per la Matematica, vol. 39(2), pages 143-174, November.
  9. Guiso, Luigi & Sodini, Paolo, 2013. "Household Finance: An Emerging Field," Handbook of the Economics of Finance, Elsevier.
  10. Yulei Luo & Eric R. Young, 2016. "Long‐Run Consumption Risk and Asset Allocation under Recursive Utility and Rational Inattention," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 48(2-3), pages 325-362, 03.
  11. Xu, Weidong & Wu, Chongfeng & Li, Hongyi, 2010. "Robust general equilibrium under stochastic volatility model," Finance Research Letters, Elsevier, vol. 7(4), pages 224-231, December.
  12. Vikas Agarwal & Eser Arisoy & Narayan Y Naik, 2015. "Volatility of Aggregate Volatility and Hedge Fund Returns," Post-Print hal-01412976, HAL.
  13. Taboga, Marco, 2005. "Portfolio selection with two-stage preferences," Finance Research Letters, Elsevier, vol. 2(3), pages 152-164, September.
  14. Peter Bossaerts & Paolo Ghirardato & Serena Guarnaschelli & William R. Zame, 2010. "Ambiguity in Asset Markets: Theory and Experiment," Review of Financial Studies, Society for Financial Studies, vol. 23(4), pages 1325-1359, April.
  15. Hui Chen & Nengjiu Ju & Jianjun Miao, 2014. "Dynamic Asset Allocation with Ambiguous Return Predictability," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 17(4), pages 799-823, October.
  16. Maela Giofré, 2012. "Convergence of EMU Equity Portfolios," Open Economies Review, Springer, vol. 23(2), pages 381-419, April.
  17. Schroder, Mark & Skiadas, Costis, 2003. "Optimal lifetime consumption-portfolio strategies under trading constraints and generalized recursive preferences," Stochastic Processes and their Applications, Elsevier, vol. 108(2), pages 155-202, December.
  18. Gonçalo Faria & João Correia-da-Silva, 2012. "The price of risk and ambiguity in an intertemporal general equilibrium model of asset prices," Annals of Finance, Springer, vol. 8(4), pages 507-531, November.
  19. Dimmock, Stephen G. & Kouwenberg, Roy & Mitchell, Olivia S. & Peijnenburg, Kim, 2016. "Ambiguity aversion and household portfolio choice puzzles: Empirical evidence," Journal of Financial Economics, Elsevier, vol. 119(3), pages 559-577.
  20. Ulrich, Maxim, 2013. "Inflation ambiguity and the term structure of U.S. Government bonds," Journal of Monetary Economics, Elsevier, vol. 60(2), pages 295-309.
  21. Timothy K. Chue, 2004. "The Spirit of Capitalism and International Risk Sharing," Econometric Society 2004 Far Eastern Meetings 589, Econometric Society.
  22. repec:esx:essedp:770 is not listed on IDEAS
  23. Massimo Guidolin & Allan Timmermann, 2008. "International asset allocation under regime switching, skew, and kurtosis preferences," Review of Financial Studies, Society for Financial Studies, vol. 21(2), pages 889-935, April.
  24. Ivo D. Dinov & Kyle Siegrist & Dennis K. Pearl & Alexandr Kalinin & Nicolas Christou, 2016. "Probability Distributome: a web computational infrastructure for exploring the properties, interrelations, and applications of probability distributions," Computational Statistics, Springer, vol. 31(2), pages 559-577, June.
  25. Pierpaolo Benigno, 2007. "Portfolio Choices with Near Rational Agents: A Solution of Some International-Finance Puzzles," NBER Working Papers 13173, National Bureau of Economic Research, Inc.
  26. Giofré, Maela, 2009. "The role of information asymmetries and inflation hedging in international equity portfolios," Journal of Multinational Financial Management, Elsevier, vol. 19(4), pages 237-255, October.
  27. Giofré, Maela, 2017. "Financial education, investor protection and international portfolio diversification," Journal of International Money and Finance, Elsevier, vol. 71(C), pages 111-139.
  28. John Griffin, 2015. "Risk Premia and Knightian Uncertainty in an Experimental Market Featuring a Long-Lived Asset," Fordham Economics Discussion Paper Series dp2015-01, Fordham University, Department of Economics.
  29. Hening Liu, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Post-Print hal-00781344, HAL.
  30. Boyarchenko, Nina, 2012. "Ambiguity shifts and the 2007–2008 financial crisis," Journal of Monetary Economics, Elsevier, vol. 59(5), pages 493-507.
  31. So, Leh-chyan, 2013. "Are Real Options “Real”? Isolating Uncertainty from Risk in Real Options Analysis," MPRA Paper 52493, University Library of Munich, Germany.
  32. Massimo Guidolin & Francesca Rinaldi, 2013. "Ambiguity in asset pricing and portfolio choice: a review of the literature," Theory and Decision, Springer, vol. 74(2), pages 183-217, February.
  33. Gu, Ailing & Viens, Frederi G. & Yi, Bo, 2017. "Optimal reinsurance and investment strategies for insurers with mispricing and model ambiguity," Insurance: Mathematics and Economics, Elsevier, vol. 72(C), pages 235-249.
  34. Maenhout, Pascal J., 2006. "Robust portfolio rules and detection-error probabilities for a mean-reverting risk premium," Journal of Economic Theory, Elsevier, vol. 128(1), pages 136-163, May.
  35. Stijn Van Nieuwerburgh & Laura Veldkamp, 2009. "Information Immobility and the Home Bias Puzzle," Journal of Finance, American Finance Association, vol. 64(3), pages 1187-1215, 06.
  36. Anderson, Evan W. & Ghysels, Eric & Juergens, Jennifer L., 2009. "The impact of risk and uncertainty on expected returns," Journal of Financial Economics, Elsevier, vol. 94(2), pages 233-263, November.
  37. Guerdjikova, Ani & Sciubba, Emanuela, 2015. "Survival with ambiguity," Journal of Economic Theory, Elsevier, vol. 155(C), pages 50-94.
  38. Martin G. Kocher & Stefan T. Trautmann, 2013. "Selection Into Auctions For Risky And Ambiguous Prospects," Economic Inquiry, Western Economic Association International, vol. 51(1), pages 882-895, 01.
  39. Kozhan, Roman & Salmon, Mark, 2009. "Uncertainty aversion in a heterogeneous agent model of foreign exchange rate formation," Journal of Economic Dynamics and Control, Elsevier, vol. 33(5), pages 1106-1122, May.
  40. Kozhan, Roman & Schmid, Wolfgang, 2009. "Asset allocation with distorted beliefs and transaction costs," European Journal of Operational Research, Elsevier, vol. 194(1), pages 236-249, April.
  41. Abreu, Margarida & Mendes, Victor & Santos, João A.C., 2011. "Home country bias: Does domestic experience help investors enter foreign markets?," Journal of Banking & Finance, Elsevier, vol. 35(9), pages 2330-2340, September.
  42. Scott Condie, 2008. "Living with ambiguity: prices and survival when investors have heterogeneous preferences for ambiguity," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 36(1), pages 81-108, July.
  43. Füllbrunn, Sascha & Rau, Holger A. & Weitzel, Utz, 2014. "Does ambiguity aversion survive in experimental asset markets?," Journal of Economic Behavior & Organization, Elsevier, vol. 107(PB), pages 810-826.
  44. Christian Flor & Linda Larsen, 2014. "Robust portfolio choice with stochastic interest rates," Annals of Finance, Springer, vol. 10(2), pages 243-265, May.
  45. Pascal L. Ghazalian, 2012. "Home Bias in Primary Agricultural and Processed Food Trade: Assessing the Effects of National Degree of Uncertainty Aversion," Journal of Agricultural Economics, Wiley Blackwell, vol. 63(2), pages 265-290, 06.
  46. Trojani, Fabio & Wiehenkamp, Christian & Wrampelmeyer, Jan, 2014. "Ambiguity and Reality," Working Papers on Finance 1418, University of St. Gallen, School of Finance.
  47. Füllbrunn, Sascha & Rau, Holger & Weitzel, Utz, 2013. "Do ambiguity effects survive in experimental asset markets?," MPRA Paper 44700, University Library of Munich, Germany.
  48. Fairley, Kim & Weitzel, Utz, 2017. "Ambiguity and risk measures in the lab and students’ real-life borrowing behavior," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 67(C), pages 85-98.
  49. Branger, Nicole & Larsen, Linda Sandris, 2013. "Robust portfolio choice with uncertainty about jump and diffusion risk," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5036-5047.
  50. Menachem Brenner & Yehuda Izhakian, 2011. "Asset Priving and Ambiguity: Empirical Evidence," Working Papers 11-10, New York University, Leonard N. Stern School of Business, Department of Economics.
  51. Jordan, Steven J. & Vivian, Andrew & Wohar, Mark E., 2016. "Can commodity returns forecast Canadian sector stock returns?," International Review of Economics & Finance, Elsevier, vol. 41(C), pages 172-188.
  52. Jang, Bong-Gyu & Park, Seyoung, 2016. "Ambiguity and optimal portfolio choice with Value-at-Risk constraint," Finance Research Letters, Elsevier, vol. 18(C), pages 158-176.
  53. Stefania D'Amico, 2004. "Density Estimation and Combination under Model Ambiguity," Computing in Economics and Finance 2004 273, Society for Computational Economics.
  54. Jang, Bong-Gyu & Lee, Seungkyu & Lim, Byung Hwa, 2016. "Robust consumption and portfolio rules with time-varying model confidence," Finance Research Letters, Elsevier, vol. 18(C), pages 342-352.
  55. Nina Boyarchenko & Mario Cerrato & John Crosby & Stewart Hodges, 2012. "No good deals—no bad models," Staff Reports 589, Federal Reserve Bank of New York.
  56. Isaac Kleshchelski & Nicolas Vincent, 2007. "Robust Equilibrium Yield Curves," Cahiers de recherche 08-02, HEC Montréal, Institut d'économie appliquée.
  57. Giofré, Maela/M., 2009. "Investor protection and foreign stakeholders," MPRA Paper 20238, University Library of Munich, Germany, revised Jan 2010.
  58. Rubtsov, Alexey, 2016. "Model misspecification and pricing of illiquid claims," Finance Research Letters, Elsevier, vol. 18(C), pages 242-249.
  59. Luo, Yulei, 2014. "Strategic Consumption-Portfolio Rules and Precautionary Savings with Informational Frictions," MPRA Paper 58077, University Library of Munich, Germany.
  60. Guo, Liang, 2013. "Determinants of credit spreads: The role of ambiguity and information uncertainty," The North American Journal of Economics and Finance, Elsevier, vol. 24(C), pages 279-297.
  61. Lioui, Abraham & Poncet, Patrice, 2012. "On model ambiguity and money neutrality," Journal of Macroeconomics, Elsevier, vol. 34(4), pages 1020-1033.
  62. Stefan Trautmann & Ferdinand Vieider & Peter Wakker, 2008. "Causes of ambiguity aversion: Known versus unknown preferences," Journal of Risk and Uncertainty, Springer, vol. 36(3), pages 225-243, June.
  63. Erhan Bayraktar & Yuchong Zhang, 2014. "Minimizing the Probability of Lifetime Ruin Under Ambiguity Aversion," Papers 1402.1809, arXiv.org, revised Nov 2014.
  64. Eduardo Corso, 2015. "Ambiguity and portfolio decisions," BCRA Working Paper Series 201567, Central Bank of Argentina, Economic Research Department.
  65. Daniel Andrei & Bruce Carlin & Michael Hasler, 2014. "Model Disagreement and Economic Outlook," NBER Working Papers 20190, National Bureau of Economic Research, Inc.
  66. Tamini, Lota D., 2012. "Optimal quality choice under uncertainty on market development," MPRA Paper 40845, University Library of Munich, Germany.
  67. Hening Liu, 2010. "Robust consumption and portfolio choice for time varying investment opportunities," Annals of Finance, Springer, vol. 6(4), pages 435-454, October.
  68. Lorenzo Garlappi & Raman Uppal & Tan Wang, 2007. "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach," Review of Financial Studies, Society for Financial Studies, vol. 20(1), pages 41-81, January.
  69. Jonathan Li & Roy Kwon, 2013. "Portfolio selection under model uncertainty: a penalized moment-based optimization approach," Journal of Global Optimization, Springer, vol. 56(1), pages 131-164, May.
  70. Daniel Lacker & Thaleia Zariphopoulou, 2017. "Mean field and n-agent games for optimal investment under relative performance criteria," Papers 1703.07685, arXiv.org.
  71. Phelim Boyle & Lorenzo Garlappi & Raman Uppal & Tan Wang, 2012. "Keynes Meets Markowitz: The Trade-Off Between Familiarity and Diversification," Management Science, INFORMS, vol. 58(2), pages 253-272, February.
  72. Giofré, Maela, 2013. "Investor protection rights and foreign investment," Journal of Comparative Economics, Elsevier, vol. 41(2), pages 506-526.
  73. repec:kap:theord:v:83:y:2017:i:1:d:10.1007_s11238-016-9584-6 is not listed on IDEAS
  74. Taboga, Marco, 2004. "A Simple Model of Robust Portfolio Selection," MPRA Paper 16472, University Library of Munich, Germany.
  75. Huang, Rocco R., 2007. "Distance and trade: Disentangling unfamiliarity effects and transport cost effects," European Economic Review, Elsevier, vol. 51(1), pages 161-181, January.
  76. DiTraglia, Francis J. & Gerlach, Jeffrey R., 2013. "Portfolio selection: An extreme value approach," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 305-323.
  77. Scott Condie & Jayant Ganguli, 2011. "Informational efficiency with ambiguous information," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 48(2), pages 229-242, October.
  78. Adriaens, H.P.J.M., 2008. "Financial markets with data-driven investment decisions," Other publications TiSEM cef81b2f-c049-40af-879b-e, Tilburg University, School of Economics and Management.
  79. Liu, Jun & Pan, Jun & Wang, Tan, 2002. "An Equilibrium Model of Rare Event Premia," Working papers 4370-02, Massachusetts Institute of Technology (MIT), Sloan School of Management.
  80. Zheng, Xiaoxiao & Zhou, Jieming & Sun, Zhongyang, 2016. "Robust optimal portfolio and proportional reinsurance for an insurer under a CEV model," Insurance: Mathematics and Economics, Elsevier, vol. 67(C), pages 77-87.
  81. Giofré, Maela, 2014. "Domestic investor protection and foreign portfolio investment," Journal of Banking & Finance, Elsevier, vol. 46(C), pages 355-371.
  82. Flor, Christian Riis & Hesel, Søren, 2015. "Uncertain dynamics, correlation effects, and robust investment decisions," Journal of Economic Dynamics and Control, Elsevier, vol. 51(C), pages 278-298.
  83. Xu, Yuan, 2015. "Robustness to model uncertainty and the nominal term premium puzzle," Journal of Macroeconomics, Elsevier, vol. 44(C), pages 124-137.
  84. Giofré, Maela, 2013. "International diversification: Households versus institutional investors," The North American Journal of Economics and Finance, Elsevier, vol. 26(C), pages 145-176.
  85. Liu, Hening, 2011. "Dynamic portfolio choice under ambiguity and regime switching mean returns," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 623-640, April.
  86. Mao-wei Hung & Leh-chyan So, 2012. "How Much Extra Premium Does a Loss-averse Owner-occupied Home Buyer Pay for His House?," The Journal of Real Estate Finance and Economics, Springer, vol. 45(3), pages 705-722, October.
  87. Linnainmaa, Juhani T. & Torous, Walter & Yae, James, 2016. "Reading the tea leaves: Model uncertainty, robust forecasts, and the autocorrelation of analysts’ forecast errors," Journal of Financial Economics, Elsevier, vol. 122(1), pages 42-64.
  88. Stefania D'Amico, 2005. "Density selection and combination under model ambiguity: an application to stock returns," Finance and Economics Discussion Series 2005-09, Board of Governors of the Federal Reserve System (U.S.).
  89. Bidder, Rhys & Dew-Becker, Ian, 2014. "Long-run risk is the worst-case scenario: ambiguity aversion and non-parametric estimation of the endowment process," Working Paper Series 2014-16, Federal Reserve Bank of San Francisco.
  90. Yi, Bo & Li, Zhongfei & Viens, Frederi G. & Zeng, Yan, 2013. "Robust optimal control for an insurer with reinsurance and investment under Heston’s stochastic volatility model," Insurance: Mathematics and Economics, Elsevier, vol. 53(3), pages 601-614.
This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.