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Portfolio Choice Under Uncertainty

DONG, XUEQI (2014) Portfolio Choice Under Uncertainty. PhD thesis, University of York.

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Abstract

This thesis is about portfolio choice under ambiguity and risk. At its core is an experiment and a simulation, both concerning portfolio choice. The experiment is under ambiguity, in which the the probabilities of the states are not known to the subjects. We tested two multiple prior preference theories (MEU and _-MEU), both of which are fit significantly better than Expected Utility (EU) for around one third of the subjects, and better than Mean- Variance (MV) for the majority of the subjects. We also find that subjects have heterogenous beliefs about ambiguity, but on average they do a good job in guessing the true probabilities. The simulation is in the context of risk. Our interest here is in the specification of the stochastic process underlying our observations. The simulation led to a surprising result - the maximum likelihood estimation may suggest the wrong specification.

Item Type: Thesis (PhD)
Academic Units: The University of York > Economics and Related Studies (York)
Identification Number/EthosID: uk.bl.ethos.605429
Depositing User: MISS XUEQI DONG
Date Deposited: 22 Apr 2014 09:30
Last Modified: 08 Sep 2016 13:30
URI: http://etheses.whiterose.ac.uk/id/eprint/5678

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