Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

By Lorenzo Garlappi, Raman Uppal, Tan Wang. 2004

743 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance, Management Science and Operations Research

View Paper: https://www.semanticscholar.org/paper/d6fb4e03e84f3f096a0c3ed0ecbadfedb8c04a79

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Citations in the corpus

Liquidity and Valuation in an Uncertain World (2010, background): “Cao, Wang, and Zhang [2005] use a similar approach, model uncertainty, to explain limited market participation, while Garlappi, Uppal and Wang [2007] apply model uncertainty to explain portfolio selection.”
Dominating estimators for minimum-variance portfolios (2010, background): “Furthermore, DeMiguel et al. (2009), Garlappi et al. (2007), Golosnoy and Okhrin (2007) as well as Kan and Zhou (2007) present some shrinkage estimators for the weights of mean-variance optimal portfolios, whereas Ledoit and Wolf (2003) introduce a shrinkage estimator for the covariance matrix of…”
Alpha As Ambiguity: Robust Mean-Variance Portfolio Analysis (2010, positive): “This result shows that the only case in which our approximation (15) coincides with that of Arrow-Pratt for all small prospects(i.”
Optimal Versus Naive Diversification: How Inefficient is the 1/N Portfolio Strategy? (2009, neutral): “…Equally rich is the set of non-Bayesian approaches to estimation error, which include “robust” portfolio allocation rules (Goldfarb and Iyengar, 2003; Garlappi, Uppal, and Wang, 2007); portfolio rules designed to optimally diversify across market and estimation risk (Kan and Zhou, 2007);…”
Does Monetary Policy Affect Bank Risk-Taking? (2010, neutral): “For an empirical application of EDFs see, for instance, Garlappi et al. (2007).”
Multivariate Shrinkage for Optimal Portfolio Weights (2007, background): “Frost and Savarino (1988), Grauer and Shen (2000), Jagannathan and Ma (2003), Garlappi et al. (2007) suggest constraining portfolio weights in the optimization problem.”
Home Bias in International Equity Portfolios: A Review (2007, methodology): “…the Bayesian approach of Pástor (2000) where the investor has some degree of distrust in the asset pricing model, (4) the Multi-Prior technique of Garlappi et al. (2007) which introduces estimation risk in the standard mean-variance model and (5) the combination of the volatility correction…”
Size Matters: Optimal Calibration of Shrinkage Estimators for Portfolio Selection (2011, background): “…Pastor (2000), Pastor (2000), Pastor and Stambaugh (2000)), robust optimization methods (Cornuejols and Tutuncu (2007), Goldfarb and Iyengar (2003), Garlappi et al. (2007), Rustem et al. (2000), Tutuncu and Koenig (2004)), Bayesian robust optimization (Wang (2005)), robust estimation methods…”
Keynes Meets Markowitz: The Tradeoff Between Familiarity and Diversification (2009, positive): “Specifically, we build on the portfolio selection framework of an ambiguity averse investor developed in Garlappi, Uppal, and Wang (2007).4 The framework we develop has three attractive features: (1) it is simple and only a mild departure from the well understood Markowitz (1959) model, (2) it has…”