start-ver=1.4
cd-journal=joma
no-vol=284
cd-vols=
no-issue=
article-no=
start-page=63
end-page=79
dt-received=
dt-revised=
dt-accepted=
dt-pub-year=2019
dt-pub=20190411
dt-online=
en-article=
kn-article=
en-subject=
kn-subject=
en-title=
kn-title=Portfolio allocation problems between risky and ambiguous assets
en-subtitle=
kn-subtitle=
en-abstract=
kn-abstract=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.
en-copyright=
kn-copyright=

en-aut-name=AsanoTakao
en-aut-sei=Asano
en-aut-mei=Takao
kn-aut-name=
kn-aut-sei=
kn-aut-mei=
aut-affil-num=1
ORCID=

en-aut-name=OsakiYusuke
en-aut-sei=Osaki
en-aut-mei=Yusuke
kn-aut-name=
kn-aut-sei=
kn-aut-mei=
aut-affil-num=2
ORCID=

affil-num=1
en-affil=Faculty of Economics, Okayama University
kn-affil=

affil-num=2
en-affil=Faculty of Commerce, Waseda University
kn-affil=
en-keyword=Uncertainty modelling
kn-keyword=Uncertainty modelling
en-keyword=Home bias puzzle
kn-keyword=Home bias puzzle
en-keyword=Portfolio allocation problem
kn-keyword=Portfolio allocation problem
en-keyword=Smooth ambiguity model
kn-keyword=Smooth ambiguity model
en-keyword=Greater ambiguity aversion
kn-keyword=Greater ambiguity aversion
END