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Dynamic Asset Allocation with Ambiguous Return Predictability · Study

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PreprintDynamic Asset Allocation with Ambiguous Return Predictability

Hui Chen2009

OA

Preprintgreen2009

Dynamic Asset Allocation with Ambiguous Return Predictability

Hui Chen · Nengjiu Ju · Jianjun Miao

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

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Financial Markets and Investment Strategies Stochastic processes and financial applications Risk and Portfolio Optimization

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References

1961Risk, Ambiguity, and the Savage Axioms 1971Optimum consumption and portfolio rules in a continuous-time model 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1989Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework 1989Maxmin expected utility with non-unique prior 2007A Comprehensive Look at The Empirical Performance of Equity Premium Prediction 2007Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average?1975LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING

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2011Ambiguity and the Historical Equity Premium 2017Time-Consistency of Optimal Investment under Smooth Ambiguity 2012Ambiguity Aversion and Asset Prices in Production Economies 2011Inflation Ambiguity and the Term Structure of Arbitrage-Free U.S. Government Bonds 2015Diversification Preferences in the Theory of Choice 2011

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2013Dynamic asset allocation with ambiguous return predictabilityarticle · 55 shared references 2010Ambiguity in Asset Pricing and Portfolio Choice: A Review of the Literaturepreprint · 32 shared references 2007Ambiguity, Learning, and Asset Returnspreprint · 27 shared references 2012Robust Portfolio Choice with Ambiguity and Learning About Return Predictabilityarticle · 24 shared references 2010Asset Allocationreview · 22 shared references 2012Ambiguity in asset pricing and portfolio choice: a review of the literaturearticle · 19 shared references

Details

Year2009

Typepreprint

Published2009-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations43

Files0 public / 0

ShelfFinancial Markets and Investment Strategies

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doi10.2139/ssrn.1351609

openalex_workW2142332207

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Ellsberg Paradox and Second-order Preference Theories on Ambiguity: Some New Experimental Evidence