Good deals and benchmarks in robust portfolio selection
Alejandro Balbás,
Beatriz Balbás and
Raquel Balbás
European Journal of Operational Research, 2016, vol. 250, issue 2, 666-678
Abstract:
This paper deals with portfolio selection problems under risk and ambiguity. The investor may be ambiguous with respect to the set of states of nature and their probabilities. Both static and discrete or continuous time dynamic pricing models are included in the analysis. Risk and ambiguity are measured in general settings. The considered risk measures contain, as particular cases, the usual deviations and the coherent and expectation bounded measures of risk.
Keywords: Ambiguity; Robust portfolio selection; Coherent risk under ambiguity; Benchmark and CAPM; Good deal (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ejores:v:250:y:2016:i:2:p:666-678
DOI: 10.1016/j.ejor.2015.09.023
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