We thank Pauline Barrieu, David Bates, Emanuele Borgonovo, Veronica Roberta Cappelli, John Cochrane, Marco Giacoletti, Massimo Guidolin, Lars Hansen, Sujoy Mukerji, Fulvio Ortu, Andrea Resti, Alessandro Sbuelz, Claudio Tebaldi, Piero Veronese, the co-editor, four anonymous referees, and especially Giulia Brancaccio and Simone Cerreia-Vioglio for helpful comments. The financial support of the European Research Council (Advanced Grant, BRSCDP-TEA), the AXA-Bocconi Chair, and the Carlson School of Management at the University of Minnesota (Dean's Research Grant) is gratefully acknowledged.
Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis
Version of Record online: 16 MAY 2013
© 2013 The Econometric Society
Volume 81, Issue 3, pages 1075–1113, May 2013
How to Cite
Maccheroni, F., Marinacci, M. and Ruffino, D. (2013), Alpha as Ambiguity: Robust Mean-Variance Portfolio Analysis. Econometrica, 81: 1075–1113. doi: 10.3982/ECTA9678
- Issue online: 16 MAY 2013
- Version of Record online: 16 MAY 2013
- Manuscript received November, 2010; final revision received September, 2012.
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