Asset Demand and Ambiguity Aversion

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Summary, etc.：: We study the optimal portfolio choice problem of an investor who is averse to both risk and ambiguity. Using the class of utility functions proposed b...

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Material Type: 文書・図像類
Title: Asset Demand and Ambiguity Aversion
Author/Editor: Hara, Chiaki
Honda, Toshiki
Author Heading: Hara, Chiaki
Honda, Toshiki
Publication, Distribution, etc.: Institute of Economic Research, Kyoto University
Publication Date: 2014-12
Publication Date (W3CDTF): 2014-12
Periodical title: KIER Discussion Paper
No. or year of volume/issue: 911
Volume: 911
Text Language Code: eng
Subject Heading: Ambiguity aversion
optimal portfolio
1/N portfolio
mutual fund theorem
factor model
Bayesian portfblio choice problem
NDC: 330
Target Audience: 一般
Format (IMT): application/pdf
Source: DP911.pdf （fulltext）
http://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/192767/1/DP911.pdf
Access Restrictions: インターネット公開
Data Provider (Database): 国立情報学研究所 : 学術機関リポジトリデータベース（IRDB）（機関リポジトリ）
https://irdb.nii.ac.jp
Original Data Provider (Database): 京都大学 : 京都大学学術情報リポジトリ