Ambiguity in portfolio selection

被引：165

作者：

Pflug, Georg ^{[1
]}

Wozabal, David ^{[1
]}

机构：

[1] Univ Vienna, Dept Stat & Decis Support Syst, A-1090 Vienna, Austria

来源：

QUANTITATIVE FINANCE | 2007年 / 7卷 / 04期

关键词：

portfolio optimization; robustness; minimax;

D O I：

10.1080/14697680701455410

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

In this paper, we consider the problem of finding optimal portfolios in cases when the underlying probability model is not perfectly known. For the sake of robustness, a maximin approach is applied which uses a 'confidence set' for the probability distribution. The approach shows the tradeoff between return, risk and robustness in view of the model ambiguity. As a consequence, a monetary value of information in the model can be determined.

引用

页码：435 / 442

页数：8

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