In order to determine an optimum sales strategy for a property it is useful to estimate the distribution of bids which will be received for the property. The more accurate the estimate of the distribution, the higher the expected return will be from following the optimal strategy. This paper...

We develop a model of portfolio choice to nest the views of Keynes, who advocates concentration in a few familiar assets, and Markowitz, who advocates diversification. We use the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets. The...

We provide a general framework for finding portfolios that perform well out-of-sample in the presence of estimation error. This framework relies on solving the traditional minimum-variance problem but subject to the additional constraint that the norm of the portfolio-weight vector be smaller...