Portfolio allocation problems between risky and ambiguous assets

Takao Asano, Yusuke Osaki

研究成果: Article

1 引用 (Scopus)

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This paper considers a portfolio allocation problem between a risky asset and an ambiguous asset, and investigates how greater ambiguity aversion influences the optimal proportion invested in the two assets. We derive several sufficient conditions under which greater ambiguity aversion decreases the optimal proportion invested in the ambiguous asset. Furthermore, we consider an international diversification problem as an application and show that ambiguity aversion partially resolves the home bias puzzle.

元の言語English
ページ(範囲)63-79
ページ数17
ジャーナルAnnals of Operations Research
284
発行部数1
DOI
出版物ステータスPublished - 2020 1 1

ASJC Scopus subject areas

  • Decision Sciences(all)
  • Management Science and Operations Research

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