Model Misspecification and Under-Diversification

51 citations recorded by the source corpus.

Citations in the corpus

Fear of the Unknown: Familiarity and Economic Decisions (2007, unknown): “Our paper differs in several ways from previous studies relating ambiguity aversion and model uncertainty to underdiversification and home bias (e.g., Dow and Werlang, 1992; Uppal and Wang, 2003; Epstein and Miao, 2003; Cao, Wang, and Zhang, 2005).”
Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “3.3 Dynamic models and learning Uppal and Wang (2003) solve an intertemporal portfolio choice problem characterized by investors with a preference for HS robustness who display different levels of ambiguity across different assets, and derive implications for the so-called home country bias puzzle,…”
Learning Under Ambiguity (2007, unknown): “Neither is learning modeled in Uppal and Wang [35] that pursues a third approach to accommodating ambiguity or robustness.”
Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification (2009, unknown): “…choice with only a single risky asset in a robust-control setting is addressed in Maenhout (2004); the case of multiple risky assets in a dynamic setting in which investors are averse to ambiguity is considered in Chen and Epstein (2002), Epstein and Miao (2003), and Uppal and Wang (2003).”