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- Titel:
Ambiguity in portfolio selection
- Dokumenttyp:
- Zeitschriftenaufsatz
- Autor(en):
- Pflug, G.Ch.; Wozabal, D.
- Nicht-TUM Koautoren:
- ja
- Kooperation:
- international
- 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.
- Stichworte:
- Portfolio optimization; Robustness; Minimax
- Intellectual Contribution:
- Discipline-based Research
- Zeitschriftentitel:
- Quantitative Finance
- Journal gelistet in FT50 Ranking:
- nein
- Jahr:
- 2007
- Band / Volume:
- 7
- Heft / Issue:
- 4
- Seitenangaben Beitrag:
- 435-442
- Nachgewiesen in:
- Scopus; Web of Science
- Sprache:
- en
- Volltext / DOI:
- doi:http://dx.doi.org/10.1080/14697680701455410
- WWW:
- http://dx.doi.org/10.1080/14697680701455410
- Status:
- Erstveröffentlichung
- Urteilsbesprechung:
- 0
- Key publication:
- Ja
- Peer reviewed:
- Ja
- International:
- Ja
- Book review:
- Nein
- commissioned:
- not commissioned
- Professional Journal:
- Nein
- Interdisziplinarität:
- Nein
- Leitbild:
- ;
- Ethics und Sustainability:
- Nein
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