English, Article, Journal or magazine article edition: Uncertainty Aversion and Robust Portfolio Choices Giannis Vardas; Anastasios Xepapadeas

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Physical Description
  • preprint
Language
  • English

Edition details

Title
  • Uncertainty Aversion and Robust Portfolio Choices
Author
  • Giannis Vardas
  • Anastasios Xepapadeas
Physical Description
  • preprint
Notes
  • Optimal portfolio rules are derived under uncertainty aversion by formulating the portfolio choice problem as a robust control problem. Using a power utility function of the form C with 0 < < 1; we present the solution of the robust portfolio choice problem in the cases of one and two risky assets. In particular, for two risky assets and one risk-free asset case, we con…rm our earlier theoretical result [30], that under uncertainty aversion the total holdings of risky assets as a proportion of the investor’s wealth could increase as compared to the holdings under the Merton rule, which is the standard risk aversion case.
  • Uncertainty Aversion, Model Misspeci…cation, Robust Control, Portfolio Choice Models
  • RePEc:crt:wpaper:0408
Language
  • English
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