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Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis
16 references·16 citing·37 second hopsampled
Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2012)Alpha As Ambiguity: Robust Mean-Variance …PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES (2009)PORTFOLIO SELECTION WITH MONO…Subjective Expectations and Asset-Return Puzzles (2007)Subjective Expectations and A…Uncertainty Aversion with Second-Order Utilities and Probabilities (2006)Uncertainty Aversion with Sec…Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach (2006)Portfolio Selection with Para…A Smooth Model of Decision Making under Ambiguity (2005)A Smooth Model of Decision Ma…Differentiating ambiguity and ambiguity attitude (2004)Differentiating ambiguity and…A Smooth Model of Decision Making Under Ambiguity (2003)A Smooth Model of Decision Ma…Ambiguity, Risk, and Asset Returns in Continuous Time (2002)Ambiguity, Risk, and Asset Re…Intertemporal Asset Pricing under Knightian Uncertainty (1994)Intertemporal Asset Pricing u…An Asset Allocation Puzzle (1994)An Asset Allocation PuzzleThe Cross-Section of Expected Stock Returns (1992)The Cross-Section of Expected…First order versus second order risk aversion (1990)First order versus second ord…The equity premium: A puzzle (1985)The equity premium: A puzzleThe Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)The Valuation of Risk Assets …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)CAPITAL ASSET PRICES: A THEOR…PORTFOLIO SELECTION* (1952)PORTFOLIO SELECTION*Absolute and Relative Ambiguity Attitudes (2024)Absolute and Relative Ambigui…Beyond Uncertainty Aversion (2019)Beyond Uncertainty AversionBelief Formation and Belief Updating Under Ambiguity: Evidence from Experiments (2019)Belief Formation and Belief U…Three Layers of Uncertainty: An Experiment (2018)Three Layers of Uncertainty: …Time-Consistency of Optimal Investment under Smooth Ambiguity (2017)Time-Consistency of Optimal I…Lattice-Based Monotone Comparative Statics on Precautionary Paying for Stochastic Improvements (2016)Lattice-Based Monotone Compar…Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data (2016)Characterizations of Smooth A…The Impact of Ambiguity Prudence on Insurance and Prevention (2015)The Impact of Ambiguity Prude…The Comparative Statics of Ambiguity Aversion on Precautionary Paying for Stochastic Improvements (2015)The Comparative Statics of Am…Dynamically Consistent α-Maxmin Expected Utility (2015)Dynamically Consistent α-Maxm…Some Implications of Knightian Uncertainty for Finance and Regulation (2014)Some Implications of Knightia…Shadow Probability Theory and Ambiguity Measurement (2012)Shadow Probability Theory and…Asset Pricing and Ambiguity: Empirical Evidence (2012)Asset Pricing and Ambiguity: …Smooth Ambiguity Aversion in the Small and in the Large (2011)Smooth Ambiguity Aversion in …Ambiguity and the Historical Equity Premium (2011)Ambiguity and the Historical …Ambiguity and the Historical Equity Premium (2011)Ambiguity and the Historical …Risk, Ambiguity, and the Savage Axioms (1961)Maxmin expected utility with non-unique prior (1989)Subjective probability and expected utility without additivity (2004)Neural Signatures of Economic Preferences for Risk and Ambiguity (2006)Risky business: the neuroeconomics of decision making under uncertainty (2008)Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework (1989)Robust Control and Model Uncertainty (2001)Robust Portfolio Rules and Asset Pricing (2004)Ambiguity, Information Quality, and Asset Pricing (2008)Risk, Return, and Equilibrium: Empirical Tests (1973)Returns to Buying Winners and Selling Losers: Implications for Stock Market Efficiency (1993)Illiquidity and stock returns: cross-section and time-series effects (2002)An Intertemporal Capital Asset Pricing Model (1973)Asset Prices in an Exchange Economy (1978)Time to Build and Aggregate Fluctuations (1982)Noise Trader Risk in Financial Markets (1990)Efficient Capital Markets: II (1991)ARCH modeling in finance (1992)Risk Aversion in the Small and in the Large (1964)Risk Aversion in the Small and in the Large (1976)Risk Aversion in the Laboratory (2008)Sensitivity analysis: A review of recent advances (2015)Risk, Uncertainty and Profit (1921)Optimum consumption and portfolio rules in a continuous-time model (1971)Optimal Portfolio Choice with Parameter Uncertainty (2007)Bank risk and monetary policy (2009)60 Years of portfolio optimization: Practical challenges and current trends (2013)The Pricing of Options and Corporate Liabilities (1973)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)Common risk factors in the returns on stocks and bonds (1993)Conditional value-at-risk for general loss distributions (2002)Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy? 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References

  • 1964CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK*19,431 cited
  • 1992The Cross-Section of Expected Stock Returns17,251 cited
  • 1952PORTFOLIO SELECTION*13,480 cited
  • 1965The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets7,600 cited
  • 1985The equity premium: A puzzle5,785 cited
  • 2005A Smooth Model of Decision Making under Ambiguity1,889 cited
  • 2002Ambiguity, Risk, and Asset Returns in Continuous Time1,073 cited
  • 2004Differentiating ambiguity and ambiguity attitude915 cited
  • 2006Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach690 cited
  • 1994Intertemporal Asset Pricing under Knightian Uncertainty543 cited
  • 2003A Smooth Model of Decision Making Under Ambiguity434 cited
  • 2009PORTFOLIO SELECTION WITH MONOTONE MEAN‐VARIANCE PREFERENCES426 cited
  • 1994An Asset Allocation Puzzle423 cited
  • 1990First order versus second order risk aversion401 cited
  • 2007Subjective Expectations and Asset-Return Puzzles385 cited
  • 2006Uncertainty Aversion with Second-Order Utilities and Probabilities

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290 cited

Cited by

  • 2012Asset Pricing and Ambiguity: Empirical Evidence65 cited
  • 2011Ambiguity and the Historical Equity Premium41 cited
  • 2017Time-Consistency of Optimal Investment under Smooth Ambiguity33 cited
  • 2011Ambiguity and the Historical Equity Premium28 cited
  • 2011Smooth Ambiguity Aversion in the Small and in the Large5 cited
  • 2016Characterizations of Smooth Ambiguity Based on Continuous and Discrete Data4 cited
  • 2015The Impact of Ambiguity Prudence on Insurance and Prevention4 cited
  • 2019Belief Formation and Belief Updating Under Ambiguity: Evidence from Experiments4 cited
  • 2019Beyond Uncertainty Aversion4 cited
  • 2012Shadow Probability Theory and Ambiguity Measurement3 cited
  • 2015Dynamically Consistent α-Maxmin Expected Utility2 cited
  • 2018Three Layers of Uncertainty: An Experiment2 cited
  • 2014Some Implications of Knightian Uncertainty for Finance and Regulation1 cited
  • 2024Absolute and Relative Ambiguity Attitudes1 cited
  • 2015The Comparative Statics of Ambiguity Aversion on Precautionary Paying for Stochastic Improvements0 cited
  • 2016Lattice-Based Monotone Comparative Statics on Precautionary Paying for Stochastic Improvements0 cited