Combining forecasts in the presence of ambiguity over correlation structures
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Cited by:
- Jiang, Julia & Liu, Jun & Tian, Weidong & Zeng, Xudong, 2022. "Portfolio concentration, portfolio inertia, and ambiguous correlation," Journal of Economic Theory, Elsevier, vol. 203(C).
- Chollete, Lorán & de la Peña, Victor & Klass, Michael, 2023. "The price of independence in a model with unknown dependence," Mathematical Social Sciences, Elsevier, vol. 123(C), pages 51-58.
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More about this item
Keywords
correlation neglect; ambiguity; point-wise mutual information;All these keywords.
JEL classification:
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
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