Springer Acta Medica Okayama 02545330 284 2019 Portfolio allocation problems between risky and ambiguous assets 63 79 EN Takao Asano Faculty of Economics, Okayama University Yusuke Osaki Faculty of Commerce, Waseda University This paper considers a portfolio allocation problem between a risky asset and an ambiguous asset, and investigates how greater ambiguity aversion influences the optimal proportion invested in the two assets. We derive several sufficient conditions under which greater ambiguity aversion decreases the optimal proportion invested in the ambiguous asset. Furthermore, we consider an international diversification problem as an application and show that ambiguity aversion partially resolves the home bias puzzle. No potential conflict of interest relevant to this article was reported.