Documents disponibles écrits par cet auteur

Keynes meets markowitz / Phelim Boyle in Management science, Vol. 58 N° 2 (Février 2012) 

Public ISBD [article]  in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 253-272 Titre : Keynes meets markowitz : The trade-off between familiarity and diversification Type de document : texte imprimé Auteurs : Phelim Boyle, Auteur ; Lorenzo Garlappi, Auteur ; Raman Uppal, Auteur Année de publication : 2012 Article en page(s) : pp. 253-272 Note générale : Management Langues : Anglais (eng) Mots-clés : Investment  Portfolio  choice  Ambiguity  Robust  control  Underdiversification Résumé : We develop a model of portfolio choice to nest the views of Keynes, who advocates concentration in a few familiar assets, and Markowitz, who advocates diversification. We use the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's “familiarity” toward assets. The model shows that for any given level of expected returns, the optimal portfolio depends on two quantities: relative ambiguity across assets and the standard deviation of the expected return estimate for each asset. If both quantities are low, then the optimal portfolio consists of a mix of familiar and unfamiliar assets; moreover, an increase in correlation between assets causes an investor to increase concentration in familiar assets (flight to familiarity). Alternatively, if both quantities are high, then the optimal portfolio contains only the familiar asset(s), as Keynes would have advocated. In the extreme case in which both quantities are very high, no risky asset is held (nonparticipation). DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/253.abstract [article] Keynes meets markowitz : The trade-off between familiarity and diversification [texte imprimé] / Phelim Boyle, Auteur ; Lorenzo Garlappi, Auteur ; Raman Uppal, Auteur . - 2012 . - pp. 253-272. Management Langues : Anglais (eng) in Management science > Vol. 58 N° 2 (Février 2012) . - pp. 253-272 Mots-clés : Investment  Portfolio  choice  Ambiguity  Robust  control  Underdiversification Résumé : We develop a model of portfolio choice to nest the views of Keynes, who advocates concentration in a few familiar assets, and Markowitz, who advocates diversification. We use the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's “familiarity” toward assets. The model shows that for any given level of expected returns, the optimal portfolio depends on two quantities: relative ambiguity across assets and the standard deviation of the expected return estimate for each asset. If both quantities are low, then the optimal portfolio consists of a mix of familiar and unfamiliar assets; moreover, an increase in correlation between assets causes an investor to increase concentration in familiar assets (flight to familiarity). Alternatively, if both quantities are high, then the optimal portfolio contains only the familiar asset(s), as Keynes would have advocated. In the extreme case in which both quantities are very high, no risky asset is held (nonparticipation). DEWEY : 658 ISSN : 0025-1909 En ligne : http://mansci.journal.informs.org/content/58/2/253.abstract