EconPapers    
Economics at your fingertips  
 

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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4) Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0377221715008474
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

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

Access Statistics for this article

European Journal of Operational Research is currently edited by Roman Slowinski, Jesus Artalejo, Jean-Charles. Billaut, Robert Dyson and Lorenzo Peccati

More articles in European Journal of Operational Research from Elsevier
Bibliographic data for series maintained by Catherine Liu (repec@elsevier.com).

 
Page updated 2024-02-18
Handle: RePEc:eee:ejores:v:250:y:2016:i:2:p:666-678