A Simple Model of Robust Portfolio Selection

Marco Taboga ()

MPRA Paper from University Library of Munich, Germany

Abstract: We propose a single-period portfolio selection model which allows the decision maker to easily deal with uncertainty about the distribution of asset returns. The model is preference-based and relies upon a separate parametrization of risk aversion and ambiguity aversion. A particular specification of preferences allows us to solve the portfolio selection problem and obtain a simple closed-form expression for the portfolio weights, which lends itself to a straightforward economic interpretation.

Keywords: Portfolio selection; robustness; ambiguity. (search for similar items in EconPapers)
JEL-codes: G11 C02 (search for similar items in EconPapers)
Date: 2004-06-01
View list of references

Downloads: (external link)
http://mpra.ub.uni-muenchen.de/16472/

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: http://EconPapers.repec.org/RePEc:pra:mprapa:16472

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany
Address: Schackstr. 4, D-80539 Munich, Germany
Contact information at EDIRC.
Series data maintained by Ekkehart Schlicht ().