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Portfolio selections under mean-variance preference with multiple priors for means and variances

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  • Yuki Shigeta

    (Kyoto University)

Abstract

We study portfolio selections under mean-variance preference with multiple priors for means and variances. We introduce two types of multiple priors, the priors for means and the priors for variances of risky asset returns. As our framework, in the absence of a risk-free asset, the global minimum-variance portfolio is optimal when the investor is extremely ambiguity averse with respect to means, and the equally weighted portfolio is optimal when the investor is extremely ambiguity averse with respect to variances.

Suggested Citation

  • Yuki Shigeta, 2017. "Portfolio selections under mean-variance preference with multiple priors for means and variances," Annals of Finance, Springer, vol. 13(1), pages 97-124, February.
    • Handle: RePEc:kap:annfin:v:13:y:2017:i:1:d:10.1007_s10436-016-0291-7
    DOI: 10.1007/s10436-016-0291-7
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    References listed on IDEAS

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    Cited by:

    1. Dian Zhu & Andrew J. Heunis, 2017. "Quadratic minimization with portfolio and intertemporal wealth constraints," Annals of Finance, Springer, vol. 13(3), pages 299-340, August.

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    More about this item

    Keywords

    Ambiguity aversion; Multiple priors; Maxmin expected utility model; Mean-variance preference; The global minimum-variance portfolio; The equally weighted portfolio;
    All these keywords.

    JEL classification:

    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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