Research and publications
Keynes Meets Markowitz: The Trade-off Between Familiarity and Diversification
This paper develops a model of portfolio choice that nests the views of Keynes—who advocates concentration in a few familiar assets—and Markowitz—who advocates diversification across assets. It relies on the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets.
Author(s):
Phelim Boyle, Lorenzo Garlappi, Raman Uppal, Tan Wang
Summary:
This paper develops a model of portfolio choice that nests the views of Keynes—who advocates concentration in a few familiar assets—and Markowitz—who advocates diversification across assets. It relies on the concepts of ambiguity and ambiguity aversion to formalize the idea of an investor's "familiarity" toward assets.
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Register/Log in| Type : | Working paper |
|---|---|
| Date : | 01/10/2011 |
| Keywords : |
Portfolio Management |
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