Portfolio Selection with Two-Stage Preferences

Marco Taboga ()

Finance from EconWPA

Abstract: We propose a model of portfolio selection under ambiguity, based on a two-stage valuation procedure which disentangles ambiguity and ambiguity aversion. The model does not imply 'extreme pessimism' from the part of the investor, as multiple priors models do. Furthermore, its analytical tractability allows to study complex problems thus far not analyzed, such as joint uncertainty about means and variances of returns.

Keywords: ambiguity; portfolio selection; parameter uncertainty. (search for similar items in EconPapers)
JEL-codes: G (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-fin
Date: 2005-06-15
Note: Type of Document - pdf
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Journal Article: Portfolio selection with two-stage preferences (2005)
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Persistent link: http://EconPapers.repec.org/RePEc:wpa:wuwpfi:0506009

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