Model Misspecification And Underdiversification  

Oleh:

Uppal, Raman ; Tan, Wang

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 58 no. 6 (2003), page 2465-2486.
Topik: diversification; studies; mathematical models; portfolio investments; rates of return; portfolio diversification; comparative analysis
Fulltext: p 2465.pdf (225.49KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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In this paper, we study intertemporal portfolio choice when an investor accounts explicitly for model misspecification. We develop a framework that allows for ambiguity about not just the joint distribution of returns for all stocks in the portfolo, but also for different levels of ambiguity for the marginal distribution of returns for any subset of these stocks. We find that when the overall ambiguity about the joint distribution of returns is high, then small differences in ambiguity for the marginal return distribution will result in a portfolio that is significanlty underdiversified relative to the standard mean - variance portfolio.

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