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Citations for "Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach"

by Garlappi, Lorenzo & Uppal, Raman & Wang, Tan

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  1. Ju, Nengjiu & Miao, Jianjun, 2009. "Ambiguity, Learning, and Asset Returns," MPRA Paper 14737, University Library of Munich, Germany, revised Apr 2009.
  2. 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.
  3. Brian M Lucey & Cal Muckley, 2011. "Robust Global Stock Market Interdependencies," The Institute for International Integration Studies Discussion Paper Series iiisdp353, IIIS.
  4. 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.
  5. Annalisa Fabretti & Stefano Herzel & Mustafa C. Pinar, 2014. "Delegated Portfolio Management under Ambiguity Aversion," CEIS Research Paper 304, Tor Vergata University, CEIS, revised 06 Feb 2014.
  6. Martin Schneider, 2010. "The Research Agenda: Martin Schneider on Multiple Priors Preferences and Financial Markets," EconomicDynamics Newsletter, Review of Economic Dynamics, vol. 11(2), April.
  7. Thomas J. Brennan & Andrew W. Lo, 2010. "Impossible Frontiers," Management Science, INFORMS, vol. 56(6), pages 905-923, June.
  8. Chiaki Hara & Toshiki Honda, 2014. "Asset Demand and Ambiguity Aversion," KIER Working Papers 911, Kyoto University, Institute of Economic Research.
  9. DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013. "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3018-3034.
  10. Eric André, 2013. "Optimal Portfolio with Vector Expected Utility," AMSE Working Papers 1308, Aix-Marseille School of Economics, Marseille, France, revised 11 Feb 2013.
  11. Mishra, Anil V, 2015. "Foreign Bias in Australian Domiciled Mutual Fund Holdings," MPRA Paper 63376, University Library of Munich, Germany.
  12. Kim Peijnenburg, 2014. "Life-Cycle Asset Allocation with Ambiguity Aversion and Learning," 2014 Meeting Papers 967, Society for Economic Dynamics.
  13. Pauline Barrieu & Bernard Sinclair Desgagne, 2009. "Economic policy when models disagree," LSE Research Online Documents on Economics 37607, London School of Economics and Political Science, LSE Library.
  14. 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.
  15. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2014. "Does Monetary Policy Affect Bank Risk?," International Journal of Central Banking, International Journal of Central Banking, vol. 10(1), pages 95-136, March.
  16. Eric André, 2013. "Optimal Portfolio with Vector Expected Utility," Working Papers halshs-00796482, HAL.
  17. repec:spr:compst:v:70:y:2009:i:2:p:337-356 is not listed on IDEAS
  18. Camille Cornand & Céline Gimet, 2012. "The 2007-2008 financial crisis: Is there evidence of disaster myopia?," Post-Print halshs-00617127, HAL.
  19. Becker, Franziska & Gürtler, Marc & Hibbeln, Martin, 2009. "Markowitz versus Michaud: Portfolio optimization strategies reconsidered," Working Papers IF30V3, Technische Universität Braunschweig, Institute of Finance.
  20. Hau, Harald & Langfield, Sam & Marqués Ibañez, David, 2012. "Bank ratings: What determines their quality?," CEPR Discussion Papers 9171, C.E.P.R. Discussion Papers.
  21. Marc Joëts, 2013. "Heterogeneous beliefs, regret, and uncertainty: The role of speculation in energy price dynamics," Working Papers 2013-031, Department of Research, Ipag Business School.
  22. Menachem Brenner & Yehuda Izhakian & Orly Sade, 2011. "Ambiguity and Overconfidence," Working Papers 11-06, New York University, Leonard N. Stern School of Business, Department of Economics.
  23. Kolm, Petter N. & Tütüncü, Reha & Fabozzi, Frank J., 2014. "60 Years of portfolio optimization: Practical challenges and current trends," European Journal of Operational Research, Elsevier, vol. 234(2), pages 356-371.
  24. Guiso, Luigi & Sodini, Paolo, 2012. "Household Finance: An Emerging Field," CEPR Discussion Papers 8934, C.E.P.R. Discussion Papers.
  25. Gonçalo Faria & João Correia-da-Silva, 2014. "A closed-form solution for options with ambiguity about stochastic volatility," Review of Derivatives Research, Springer, vol. 17(2), pages 125-159, July.
  26. Kourtis, Apostolos & Dotsis, George & Markellos, Raphael N., 2012. "Parameter uncertainty in portfolio selection: Shrinking the inverse covariance matrix," Journal of Banking & Finance, Elsevier, vol. 36(9), pages 2522-2531.
  27. Pástor, Luboš & Veronesi, Pietro, 2009. "Learning in Financial Markets," CEPR Discussion Papers 7127, C.E.P.R. Discussion Papers.
  28. Aharon Ben-Tal & Dick den Hertog & Anja De Waegenaere & Bertrand Melenberg & Gijs Rennen, 2013. "Robust Solutions of Optimization Problems Affected by Uncertain Probabilities," Management Science, INFORMS, vol. 59(2), pages 341-357, April.
  29. Hui Chen & Nengjiu Ju & Jianjun Miao, 2008. "Dynamic Asset Allocation with Ambiguous Return Predictability," Boston University - Department of Economics - The Institute for Economic Development Working Papers Series dp-179, Boston University - Department of Economics, revised Feb 2009.
  30. Behr, Patrick & Guettler, Andre & Truebenbach, Fabian, 2012. "Using industry momentum to improve portfolio performance," Journal of Banking & Finance, Elsevier, vol. 36(5), pages 1414-1423.
  31. 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.
  32. Gabriel Frahm & Christoph Memmel, 2010. "Dominating Estimators for Minimum-Variance Portfolios," Post-Print hal-00741629, HAL.
  33. Meligkotsidou, Loukia & Vrontos, Ioannis D. & Vrontos, Spyridon D., 2009. "Quantile regression analysis of hedge fund strategies," Journal of Empirical Finance, Elsevier, vol. 16(2), pages 264-279, March.
  34. Yener Altunbas & Leonardo Gambacorta & David Marques-Ibanez, 2010. "Does monetary policy affect bank risk-taking?," BIS Working Papers 298, Bank for International Settlements.
  35. Massimo Guidolin & Hening Liu, 2013. "Ambiguity Aversion and Under-diversification," Working Papers 483, IGIER (Innocenzo Gasparini Institute for Economic Research), Bocconi University.
  36. Jayant Ganguli & Scott Condie & Philipp Karl Illeditsch, 2012. "Information Inertia," Economics Discussion Papers 719, University of Essex, Department of Economics.
  37. Jessica A. Wachter & Missaka Warusawitharana, 2007. "Predictable Returns and Asset Allocation: Should a Skeptical Investor Time the Market?," NBER Working Papers 13165, National Bureau of Economic Research, Inc.
  38. Golosnoy, Vasyl & Okhrin, Yarema, 2009. "Flexible shrinkage in portfolio selection," Journal of Economic Dynamics and Control, Elsevier, vol. 33(2), pages 317-328, February.
  39. Alejandro Balbás & Beatriz Balbás & Raquel Balbás, 2011. "CAPM-like formulae and good deal absence with ambiguous setting and coherent risk measure," Business Economics Working Papers id-11-04, Universidad Carlos III, Instituto sobre Desarrollo Empresarial (INDEM).
  40. Chan, Kalok & Covrig, Vicentiu & Ng, Lilian, 2009. "Does home bias affect firm value? Evidence from holdings of mutual funds worldwide," Journal of International Economics, Elsevier, vol. 78(2), pages 230-241, July.
  41. Owadally, Iqbal & Landsman, Zinoviy, 2013. "A characterization of optimal portfolios under the tail mean–variance criterion," Insurance: Mathematics and Economics, Elsevier, vol. 52(2), pages 213-221.
  42. Christian Flor & Linda Larsen, 2014. "Robust portfolio choice with stochastic interest rates," Annals of Finance, Springer, vol. 10(2), pages 243-265, May.
  43. Gabriel Frahm & Christoph Memmel, 2010. "Dominating Estimators for Minimum-Variance Portfolios," Post-Print peer-00741629, HAL.
  44. Baele, Lieven & Pungulescu, Crina & Ter Horst, Jenke, 2007. "Model uncertainty, financial market integration and the home bias puzzle," Journal of International Money and Finance, Elsevier, vol. 26(4), pages 606-630, June.
  45. Oliver Walker & Simon Dietz, 2012. "Ambiguity and insurance: robust capital requirements and premiums," GRI Working Papers 97, Grantham Research Institute on Climate Change and the Environment.
  46. repec:ipg:wpaper:31 is not listed on IDEAS
  47. Zhu, Shushang & Fan, Minjie & Li, Duan, 2014. "Portfolio management with robustness in both prediction and decision: A mixture model based learning approach," Journal of Economic Dynamics and Control, Elsevier, vol. 48(C), pages 1-25.
  48. Loriana Pelizzon & Massimiliano Caporin, 2012. "Market volatility, optimal portfolios and naive asset allocations," Working Papers 2012_08, Department of Economics, University of Venice "Ca' Foscari".
  49. Easley, David & O'Hara, Maureen, 2010. "Liquidity and valuation in an uncertain world," Journal of Financial Economics, Elsevier, vol. 97(1), pages 1-11, July.
  50. Victor de Miguel & Alberto Martín Utrera & Francisco J. Nogales, 2013. "Parameter uncertainty in multiperiod portfolio optimization with transaction costs," Statistics and Econometrics Working Papers ws132119, Universidad Carlos III, Departamento de Estadística y Econometría.
  51. Goldstein, Daniel G. & Gigerenzer, Gerd, 2009. "Fast and frugal forecasting," International Journal of Forecasting, Elsevier, vol. 25(4), pages 760-772, October.
  52. Bertrand Maillet & Sessi Tokpavi & Benoit Vaucher, 2013. "Minimum Variance Portfolio Optimisation under Parameter Uncertainty: A Robust Control Approach," EconomiX Working Papers 2013-28, University of Paris West - Nanterre la Défense, EconomiX.
  53. Epstein, Larry G. & Halevy, Yoram, 2014. "No Two Experiments are Identical," Microeconomics.ca working papers yoram_halevy-2014-9, Vancouver School of Economics, revised 30 Dec 2014.
  54. Alexander Bade & Gabriel Frahm & Uwe Jaekel, 2009. "A general approach to Bayesian portfolio optimization," Mathematical Methods of Operations Research, Springer, vol. 70(2), pages 337-356, October.
  55. Philipp Karl ILLEDITSCH, 2009. "Ambiguous Information, Risk Aversion, and Asset Pricing," 2009 Meeting Papers 802, Society for Economic Dynamics.
  56. Agarwal, Vikas & Arisoy, Y. Eser & Naik, Narayan Y., 2015. "Volatility of aggregate volatility and hedge funds returns," CFR Working Papers 15-03, University of Cologne, Centre for Financial Research (CFR).
  57. Ruffino, Doriana, 2013. "A Robust Capital Asset Pricing Model," Finance and Economics Discussion Series 2014-1, Board of Governors of the Federal Reserve System (U.S.).
  58. Fiordelisi, Franco & Marqués-Ibáñez, David & Molyneux, Phil, 2010. "Efficiency and risk in european banking," Working Paper Series 1211, European Central Bank.
  59. Meglena Jeleva & Jean-Marc Tallon, 2014. "Ambiguïté, comportements et marchés financiers," Documents de travail du Centre d'Economie de la Sorbonne 14064, Université Panthéon-Sorbonne (Paris 1), Centre d'Economie de la Sorbonne.
  60. Lutgens, Frank & Schotman, Peter C, 2007. "Robust Portfolio Optimisation with Multiple Experts," CEPR Discussion Papers 6161, C.E.P.R. Discussion Papers.
  61. 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.
  62. A. Paç & Mustafa Pınar, 2014. "Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity," TOP: An Official Journal of the Spanish Society of Statistics and Operations Research, Springer, vol. 22(3), pages 875-891, October.
  63. Xie, Jun & Yang, Chunpeng, 2013. "Shouldn't all eggs be putted in one basket? A portfolio model based on investor sentiment and inertial thinking," Economic Modelling, Elsevier, vol. 35(C), pages 682-688.
  64. Somayeh Moazeni & Thomas Coleman & Yuying Li, 2013. "Regularized robust optimization: the optimal portfolio execution case," Computational Optimization and Applications, Springer, vol. 55(2), pages 341-377, June.
  65. Mishra, Anil, 2013. "Measures of Equity Home Bias Puzzle," MPRA Paper 51223, University Library of Munich, Germany.
  66. Takuya Kinkawa & Nobuo Shinozaki, 2010. "Dominance of a Class of Stein type Estimators for Optimal Portfolio Weights When the Covariance Matrix is Unknown," Asia-Pacific Financial Markets, Springer, vol. 17(1), pages 19-50, March.
  67. Golosnoy, Vasyl & Okhrin, Yarema, 2008. "General uncertainty in portfolio selection: A case-based decision approach," Journal of Economic Behavior & Organization, Elsevier, vol. 67(3-4), pages 718-734, September.
  68. : David Kelsey & Roman Kozhan & Wei Pang, 2010. "Asymmetric Momentum Effects Under Uncertainty," Working Papers wpn10-04, Warwick Business School, Finance Group.
  69. F. Piri & M. Salahi & F. Mehrdoust, 2014. "Robust Mean-Conditional Value at Risk Portfolio Optimization," International Journal of Economic Sciences, University of Economics, Prague, vol. 2014(1), pages 2-11.
  70. Sara Biagini & Mustafa Pinar, 2015. "The Robust Merton Problem of an Ambiguity Averse Investor," Papers 1502.02847, arXiv.org.
  71. Pınar, Mustafa Ç., 2014. "Equilibrium in an ambiguity-averse mean–variance investors market," European Journal of Operational Research, Elsevier, vol. 237(3), pages 957-965.
  72. Francisco Penaranda, 2007. "Portfolio choice beyond the traditional approach," LSE Research Online Documents on Economics 24481, London School of Economics and Political Science, LSE Library.
  73. Heyen, Daniel, 2014. "Learning under Ambiguity - A Note on the Belief Dynamics of Epstein and Schneider (2007)," Working Papers 0573, University of Heidelberg, Department of Economics.
  74. Han Ozsoylev & Jan Werner, 2011. "Liquidity and asset prices in rational expectations equilibrium with ambiguous information," Economic Theory, Springer, vol. 48(2), pages 469-491, October.
  75. Serge Darolles & Christian Gouriéroux & Emmanuelle Jay, 2012. "Robust Portfolio Allocation with Systematic Risk Contribution Restrictions," Working Papers 2012-35, Centre de Recherche en Economie et Statistique.
  76. James DiLellio, 2015. "A Kalman filter control technique in mean-variance portfolio management," Journal of Economics and Finance, Springer, vol. 39(2), pages 235-261, April.
  77. Pflug, Georg Ch. & Pichler, Alois & Wozabal, David, 2012. "The 1/N investment strategy is optimal under high model ambiguity," Journal of Banking & Finance, Elsevier, vol. 36(2), pages 410-417.
  78. Gabriel Frahm & Tobias Wickern & Christof Wiechers, 2012. "Multiple tests for the performance of different investment strategies," AStA Advances in Statistical Analysis, Springer, vol. 96(3), pages 343-383, July.
  79. Camille Cornand & Céline Gimet, 2011. "The 2007-2008 financial crisis : Is there evidence of disaster myopia ?," Working Papers 1125, Groupe d'Analyse et de Théorie Economique (GATE), Centre national de la recherche scientifique (CNRS), Université Lyon 2, Ecole Normale Supérieure.
  80. Zvi Bodie & J�r�me Detemple & Marcel Rindisbacher, 2009. "Life-Cycle Finance and the Design of Pension Plans," Annual Review of Financial Economics, Annual Reviews, vol. 1(1), pages 249-286, November.
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