ID | 58561 |
FullText URL | |
Author |
Osaki, Yusuke
Faculty of Commerce, Waseda University
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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.
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Keywords | Uncertainty modelling
Home bias puzzle
Portfolio allocation problem
Smooth ambiguity model
Greater ambiguity aversion
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Published Date | 2019/04/11
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Publication Title |
Annals of Operations Research
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Volume | volume284
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Publisher | Springer
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Start Page | 63
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End Page | 79
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ISSN | 02545330
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NCID | AA1042576X
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Content Type |
Journal Article
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language |
English
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OAI-PMH Set |
岡山大学
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File Version | author
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DOI | |
Web of Science KeyUT | |
Related Url | isVersionOf https://doi.org/10.1007/s10479-019-03206-1
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Funder Name |
Ministry of Education, Culture, Sports, Science and Technology
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助成番号 | 26380411
26705004
16H02026
16H03619
16K03558
17K03806
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