Ambiguity in portfolio selection
Ambiguity in portfolio selection
复制标题
DOI：
10.1080/14697680701455410
复制
发表时间：
2007-08-01
影响因子：
1.3
通讯作者：
Wozabal, David
中科院分区：
文献类型：
--
作者：
Pflug, Georg;Wozabal, David
在本文中，我们考虑的问题，找到最优的投资组合的情况下，潜在的概率模型是不完全已知的。为了鲁棒性，应用最小化方法，该方法使用概率分布的“置信集”。该方法显示了回报，风险和鲁棒性之间的权衡，鉴于模型的模糊性。因此，可以确定模型中信息的货币价值。
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.