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Title: Portfolio choice under uncertainty
Author: Dong, Xueqi
ISNI:       0000 0004 5357 8658
Awarding Body: University of York
Current Institution: University of York
Date of Award: 2014
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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.
Supervisor: Hey, John Sponsor: Not available
Qualification Name: Thesis (Ph.D.) Qualification Level: Doctoral
EThOS ID:  DOI: Not available