Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification

By Phelim Boyle, Lorenzo Garlappi, Raman Uppal, Tan Wang. 2009

168 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/d099af5a47727fa137882acf2cbf00cdeeea8171

Citations in the corpus

• Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2010, unknown): “However, if the support of is nonsingleton (there is model uncertainty, an information feature) and v di¤ers from u (the reactions to model uncertainty and to risk di¤er, a taste feature) the identi…cation of (3) and (4) no longer holds – model uncertainty cannot be reduced to risk –and the Arrow-Pr”
• Ambiguity in asset pricing and portfolio choice: a review of the literature (2010, unknown): “…outcome and—by the law of large numbers—correspond to the average, realized real excess returns on the risky asset if a long sequence of systematic 17 Boyle et al. (2009) is another mean-variance paper that can be “closed” to generate asset pricing implications in terms of decomposition of the…”
• Mean field and n‐agent games for optimal investment under relative performance criteria (2017, unknown): “Other representative works include [9, 36, 42, 45, 48, 49, 56].”