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- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Pflug, G.Ch.; Wozabal, D.
- Non-TUM Co-author(s):
- ja
- Cooperation:
- international
- Title:
- Ambiguity in portfolio selection
- Abstract:
- 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.
- Keywords:
- Portfolio optimization; Robustness; Minimax
- Intellectual Contribution:
- Discipline-based Research
- Journal title:
- Quantitative Finance
- Journal listet in FT50 ranking:
- nein
- Year:
- 2007
- Journal volume:
- 7
- Journal issue:
- 4
- Pages contribution:
- 435-442
- Covered by:
- Scopus; Web of Science
- Language:
- en
- Fulltext / DOI:
- doi:http://dx.doi.org/10.1080/14697680701455410
- WWW:
- http://dx.doi.org/10.1080/14697680701455410
- Status:
- Erstveröffentlichung
- Judgement review:
- 0
- Key publication:
- Ja
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- Commissioned:
- not commissioned
- Professional Journal:
- Nein
- Interdisciplinarity:
- Nein
- Mission statement:
- ;
- Ethics and Sustainability:
- Nein
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