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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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