Risk, Ambiguity, and the Value of Diversification

References

• Anderson E, Hansen LP, Sargent T (2000) Robustness, detection and the price of risk. Working paper, University of North Carolina at Chapel Hill, Chapel Hill.Google Scholar
• Arrow KJ (1951) Alternative approaches to the theory of choice in risk-taking situations. Econometrica 19(4):404–437.Crossref, Google Scholar
• Berger L (2014) Precautionary saving and the notion of ambiguity prudence. Econom. Lett. 123(2):248–251.Crossref, Google Scholar
• Berger L, Bosetti V (2020) Characterizing ambiguity attitudes using model uncertainty. J. Econom. Behav. Organ. ePub ahead of print March 19, https://doi.org/10.1016/j.jebo.2020.02.014.Crossref, Google Scholar
• Bernoulli D (1738 [1954]) Specimen theoriae novae de mensura sortis (in Commentarii Academiae Scientiarum Imperialis Petropolitannae (1738); translated from Latin into English by L. Sommer, “Exposition of a New Theory on the Measurement of Risk.” Econometrica 22(1):23–36.Google Scholar
• Bianchi M, Tallon JM (2019) Ambiguity preferences and portfolio choices: Evidence from the field. Management Sci. 65(4):1486–1501.Google Scholar
• Boyle P, Garlappi L, Uppal R, Wang T (2012) Keynes meets Markowitz: The trade-off between familiarity and diversification. Management Sci. 58(2):253–272.Link, Google Scholar
• Cerreia-Vioglio S, Maccheroni F, Marinacci M, Montrucchio L (2013) Classical subjective expected utility. Proc. Natl. Acad. Sci. USA. 110(17):6754–6759.Crossref, Google Scholar
• Dekel E (1989) Asset demand without the independence axiom. Econometrica 57(1):163–169.Crossref, Google Scholar
• Dimmock SG, Kouwenberg R, Mitchell OS, Peijnenburg K (2016) Ambiguity aversion and household portfolio choice puzzles: Empirical evidence. J. Financial Econom. 119(3):559–577.Crossref, Google Scholar
• Eichberger J, Kelsey D (1996) Uncertainty aversion and preference for randomisation. J. Econom. Theory 71(1):31–43.Crossref, Google Scholar
• Ellsberg D (1961) Risk, ambiguity, and the Savage axioms. Quart. J. Econom. 75(4):643–669.Crossref, Google Scholar
• Epstein LG (1999) A definition of uncertainty aversion. Rev. Econom. Stud. 66(3):579–608.Crossref, Google Scholar
• Epstein LG (2010) A paradox for the “smooth ambiguity” model of preference. Econometrica 78(6):2085–2099.Crossref, Google Scholar
• Epstein LG, Schneider M (2010) Ambiguity and asset markets. Annual Rev. Financial Econom. 2(1):315–346.Google Scholar
• Ghirardato P, Marinacci M (2002) Ambiguity made precise: A comparative foundation. J. Econom. Theory 102(2):251–289.Crossref, Google Scholar
• Ghirardato P, Maccheroni F, Marinacci M (2004) Differentiating ambiguity and ambiguity attitude. J. Econom. Theory 118(2):133–173.Crossref, Google Scholar
• Gilboa I, Marinacci M (2013) Ambiguity and the Bayesian paradigm. Acemoglu D, Arellano M, Dekel M, eds. Advances in Economics and Econometrics: Theory and Applications (Cambridge University Press, New York), 179–242.Google Scholar
• Gilboa I, Schmeidler D (1989) Maxmin expected utility with a non-unique prior. J. Math. Econom. 18(2):141–154.Crossref, Google Scholar
• Gollier C (2011) Portfolio choices and asset prices: The comparative statics of ambiguity aversion. Rev. Econom. Stud. 78(4):1329–1344.Crossref, Google Scholar
• Guidolin M, Liu H (2016) Ambiguity aversion and underdiversification. J. Financial Quant. Anal. 51(4):1297–1323.Crossref, Google Scholar
• Hansen LP (2014) Nobel lecture: Uncertainty outside and inside economic models. J. Political Econom. 122(5):945–987.Crossref, Google Scholar
• Hansen LP, Marinacci M (2016) Ambiguity aversion and model misspecification: An economic perspective. Statist. Sci. 31(4):511–515.Crossref, Google Scholar
• Hansen L, Sargent TJ (2001) Robust control and model uncertainty. Amer. Econom. Rev. 91(2):60–66.Crossref, Google Scholar
• Jewitt I, Mukerji S (2017) Ordering ambiguous acts. J. Econom. Theory 171:213–267.Google Scholar
• Klibanoff P (2001) Stochastically independent randomization and uncertainty aversion. Econom. Theory 18(3):605–620.Crossref, Google Scholar
• Klibanoff P, Marinacci M, Mukerji S (2005) A smooth model of decision making under ambiguity. Econometrica 73(6):1849–1892.Crossref, Google Scholar
• Klibanoff P, Marinacci M, Mukerji S (2012) On the smooth ambiguity model: A reply. Econometrica 80(3):1303–1321.Crossref, Google Scholar
• Maenhout PJ (2004) Robust portfolio rules and asset pricing. Rev. Financial Stud. 17(4):951–983.Crossref, Google Scholar
• Marinacci M (2002) Probabilistic sophistication and multiple priors. Econometrica 70(2):755–764.Crossref, Google Scholar
• Marinacci M (2015) Model uncertainty. J. Eur. Econom. Assoc. 13(6):1022–1100.Google Scholar
• Marschak J, Radner R (1972) Economic Theory of Teams (Yale University Press, New Haven, CT).Google Scholar
• Mukerji S, Tallon JM (2001) Ambiguity aversion and incompleteness of financial markets. Rev. Econom. Stud. 68(4):883–904.Crossref, Google Scholar
• Pratt J (1964) Risk aversion in the small and in the large. Econometrica 32(1):122–136.Crossref, Google Scholar
• Rothschild M, Stiglitz J (1970) Increasing risk: I: A definition. J. Econom. Theory 2(3):225–243.Crossref, Google Scholar
• Rothschild M, Stiglitz J (1971) Increasing risk II: Its economic consequences. J. Econom. Theory 3(1):66–84.Crossref, Google Scholar
• Samuelson PA (1967) General proof that diversification pays. J. Financial Quant. Anal. 2(1):1–13.Crossref, Google Scholar
• Savage L (1954) The Foundations of Statistics, 2nd rev. (John Wiley, New York).Google Scholar
• Schmeidler D (1989) Subjective probability and expected utility without additivity. Econometrica 57(3):571–587.Crossref, Google Scholar
• Uppal R, Wang T (2003) Model misspecification and underdiversification. J. Finance 58(6):2465–2486.Crossref, Google Scholar
• Wald A (1950) Statistical Decision Functions (John Wiley & Sons, New York).Google Scholar