Model Misspecification and Underdiversification¶
Uppal, & Wang. (2003). Model Misspecification and Underdiversification.
Cited by¶
1 citation across 1 artifact.
Each citation links to the sentence it supports in the citing article.
Domain-specific¶
- Ambiguity Aversion
- Decision theory and behavioural economics — the home turf: the foundational anomaly (Ellsberg's two urns) motivating maxmin expected utility, Choquet expected utility, and smooth-ambiguity models of choice under unknown probabilities. Finance — equity home bias, where investors over-weight assets whose return distributions feel familiar, plus a partial account of the equity premium and demand for ambiguity-robust portfolios.
This sourceIntertemporal portfolio choice under model misspecification, in which ambiguity about the joint return distribution - and about the marginal distribution of any subset of stocks - makes the optimal portfolio significantly underdiversified relative to the mean-variance benchmark.
Supported in partVerified against the publisher's abstract
“We develop a framework that allows for ambiguity about not just the joint distribution of returns for all stocks in the portfolio, but also for different levels of ambiguity for the marginal distribution of returns for any subset of these stocks.”
- Decision theory and behavioural economics — the home turf: the foundational anomaly (Ellsberg's two urns) motivating maxmin expected utility, Choquet expected utility, and smooth-ambiguity models of choice under unknown probabilities. Finance — equity home bias, where investors over-weight assets whose return distributions feel familiar, plus a partial account of the equity premium and demand for ambiguity-robust portfolios.
Verification¶
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Registry ID ref:de2e18a8e5e8 · see in the full table