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Cited by 474

The DOI matches its Crossref record; 30 of the 30 references it cites were found in a registry or an index.

Model Misspecification and Underdiversification

Uppal, Raman, Wang, Tan·2003·The Journal of Finance
DOI 10.1046/j.1540-6261.2003.00612.x
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Abstract

In this paper, we study intertemporal portfolio choice when an investor accounts explicitly for model misspecification. We develop a framework that allows for ambiguity about not just the joint distribution of returns for all stocks in the portfolio, but also for different levels of ambiguity for the marginal distribution of returns for any subset of these stocks. We find that when the overall ambiguity about the joint distribution of returns is high, then small differences in ambiguity for the marginal return distribution will result in a portfolio that is significantly underdiversified relative to the standard mean‐variance portfolio.

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Metadata

Authors
Uppal, R., & Wang, T.
Venue
The Journal of Finance
Publisher
Wiley
Published
2003-11-07
Volume
58
Issue
6
Pages
2465-2486
ISSN
  • 0022-1082 (ISSN-L)
  • 1540-6261
DOI
10.1046/j.1540-6261.2003.00612.x
OpenAlex
W3123868759
Cited by
474
References
30
FWCI
17.85
Type
journal article
Language
en
Open access
closed

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CoChat. (2026). Citation check: Model Misspecification and Underdiversification. https://app.cochat.ai/papers/10.1046/j.1540-6261.2003.00612.x
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Uppal, R., & Wang, T. (2003). Model Misspecification and Underdiversification. The Journal of Finance. https://doi.org/10.1046/j.1540-6261.2003.00612.x

Data sources

Bibliographic data: Semantic Scholar, OpenAlex, Crossref.

Contains information from the Semantic Scholar Academic Graph Datasets, made available under the ODC Attribution License (ODC-BY 1.0).

Semantic Scholar’s data is described in: Kinney, R., et al. (2023). The Semantic Scholar Open Data Platform. arXiv:2301.10140.