Optimal portfolio under ambiguous ambiguity
نویسندگان
چکیده
A prominent approach to modelling ambiguity about stock return distribution is assume that investors have multiple priors the and these are distributed according a certain second-order distribution. Realistically, may also distribution, thus allowing for ambiguous ambiguity. Despite long history of debates this idea (Reichenbach, 1949; Savage, 1954), there seems be no formal analysis investment behavior in presence feature. We develop tractable portfolio choice framework incorporating ambiguity, characterize analytically optimal portfolio, examine its properties.
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ژورنال
عنوان ژورنال: Finance Research Letters
سال: 2021
ISSN: ['1544-6131', '1544-6123']
DOI: https://doi.org/10.1016/j.frl.2021.101961