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Subject
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Asset allocation 1 Bayesian mean-variance portfolios 1 aversion to uncertainty 1 estimation error 1 least favorable prior 1 min-imax regression 1
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Free 1
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Book / Working Paper 1
Language
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English 1
Author
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Topkavi, Sessi 1
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EconomiX, Université Paris Ouest-Nanterre la Défense (Paris X) 1
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EconomiX Working Papers 1
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RePEc 1
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Asset Allocation with Aversion to Parameter Uncertainty: A Minimax Regression Approach
Topkavi, Sessi - EconomiX, Université Paris Ouest-Nanterre la Défense … - 2011
This paper takes a minimax regression approach to incorporate aversion to parameter uncertainty into the mean-variance model. The uncertainty-averse minimax mean-variance portfolio is obtained by minimizing with respect to the unknown weights the upper bound of the usual quadratic risk function...
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