TY - THES ID - 144411324 TI - Portfolio Selection Models in Times of Financial Instability: A Comparative Study of the Impact of Ambiguity Aversion on Portfolio Weights Stability and Returns AU - Cornelissen, Thomas AU - Wuyts, Gunther AU - Leeuwenkamp, Aleksy AU - KU Leuven. Faculteit Economie en Bedrijfswetenschappen. Opleiding Master Handelsingenieur PY - 2023 PB - Leuven KU Leuven. Faculteit Economie en Bedrijfswetenschappen DB - UniCat UR - https://www.unicat.be/uniCat?func=search&query=sysid:144411324 AB - This paper describes and applies different portfolio selection models to a portfolio that consists of eight national indexes. Our research investigates the effects of an ambiguity-averse model as opposed to the classical mean-variance model in times of financial instability. We compared three different models. The classical mean-variance model makes up the first model; the global minimum-variance is the second model, and the ambiguity-averse model is our final model. Investors may not be fully aware of the true distribution of payoffs when accounting for ambiguity rather than risk. This may result in different portfolios for investors who are wary about ambiguity than for those who are solely concerned with risk. Our empirical evidence. supports a couple of findings that ambiguity-averse portfolios outperform the traditional portfolio models. First off, the weights in ambiguity-averse portfolios are substantially more consistent. Second, ambiguity-averse portfolios tend to retain fewer extreme holdings. Lastly, portfolios incorporating ambiguity aversion have a higher return, a lower standard deviation, and thus, a higher Sharpe-ratio than classic portfolio models. ER -