Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis

By Fabio Maccheroni, Massimo Marinacci, Doriana Ruffino. 2010

176 citations recorded by the source corpus.

View Paper: https://www.semanticscholar.org/paper/890b0e9f877e7b060b156c4288b53269326a76d4

Citations in the corpus

• Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “For instance, it is the function ζ(·) that captures aversion to ambiguity.10,11 Maccheroni et al. (2010) derive the analog of the mean-variance approximation in classical finance, C E(W + h,P) ∼= W + EP[h] − 0.5λu(W )σ 2P(h), for the certainty equivalent under KMM preferences C E(W + h) ∼= W + E Q̄…”