Portfolio Selection with Two-Stage Preferences

Marco Taboga
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Marco Taboga: Banca d'Italia Bank of Italy

Finance from University Library of Munich, Germany

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)
Date: 2005-06-15
New Economics Papers: this item is included in nep-fin
Note: Type of Document - pdf
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Citations: View citations in EconPapers (27)

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Journal Article: Portfolio selection with two-stage preferences (2005)
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Persistent link: https://EconPapers.repec.org/RePEc:wpa:wuwpfi:0506009

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