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- handle: 10670/1.1u5v5y
- hal: hal-01474246
- doi: 10.1016/j.mathsocsci.2014.02.001
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info:eu-repo/semantics/altIdentifier/doi/10.1016/j.mathsocsci.2014.02.001
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Eric André, « Optimal portfolio with vector expected utility », HAL-SHS : économie et finance, ID : 10.1016/j.mathsocsci.2014.02.001
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We study the optimal portfolio selected by an investor who conforms to Siniscalchi (2009)'s Vector Expected Utility's (VEU) axioms and who is ambiguity averse. To this end, we derive a mean-variance preference generalised to ambiguity from the second-order Taylor-Young expansion of the VEU certainty equivalent. We apply this Mean-Variance Variability preference to the static two-assets portfolio problem and deduce asset allocation results which extend the mean-variance analysis to ambiguity in the VEU framework. Our criterion has attractive features: it is axiomatically well-founded and analytically tractable, it is therefore well suited for applications to asset pricing as proved by a novel analysis of the home-bias puzzle with two ambiguous assets.