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Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis · Study

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PreprintAlpha As Ambiguity: Robust Mean-Variance Portfolio Analysis

Fabio Maccheroni2012

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Preprintgreen2012

Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis

Fabio Maccheroni · Massimo Marinacci B · Doriana Ruffino

88 citations·0/0 files stored·SSRN Electronic Journal

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Risk and Portfolio Optimization Decision-Making and Behavioral Economics Stochastic processes and financial applications

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References

1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*1992The Cross-Section of Expected Stock Returns 1952PORTFOLIO SELECTION*1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets 1985The equity premium: A puzzle 2005A Smooth Model of Decision Making under Ambiguity 2002Ambiguity, Risk, and Asset Returns in Continuous Time 2004Differentiating ambiguity and ambiguity attitude

Cited by

2012Asset Pricing and Ambiguity: Empirical Evidence 2011Ambiguity and the Historical Equity Premium 2017Time-Consistency of Optimal Investment under Smooth Ambiguity 2011Ambiguity and the Historical Equity Premium 2011Smooth Ambiguity Aversion in the Small and in the Large 2019Beyond Uncertainty Aversion 2015

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2010Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literaturepreprint · 15 shared references 2013Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysisarticle · 12 shared references 2013Opaque Trading, Disclosure, and Asset Prices: Implications for Hedge Fund Regulationarticle · 9 shared references 2009Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversificationpreprint · 9 shared references 2017Ambiguïté, comportements et marchés financiersarticle · 9 shared references 2012Ambiguity in asset pricing and portfolio choice: a review of the literaturearticle · 8 shared references

Details

Year2012

Typepreprint

Published2012-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations88

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.2139/ssrn.1571620

openalex_workW2110054627

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The Impact of Ambiguity Prudence on Insurance and Prevention

2019Belief Formation and Belief Updating Under Ambiguity: Evidence from Experiments