A non-probabilistic approach to efficient portfolios

Eiko Sekine and Kazuo Yamanaka

International Review of Financial Analysis, 2022, vol. 83, issue C

Abstract: The notion of efficient portfolios is restated employing a novel approach to asset uncertainty, in which an uncertainty set conveys all information on asset returns. Based on the idea that a portfolio is a function mapping the asset returns to the portfolio return, the width of the image of the uncertainty set is used as a risk measure. The statement of the separation theorem is inherited. Furthermore, non-positive Value at Risk with 100% confidence is found in a class of efficient portfolios.

Keywords: Portfolio selection; Robust portfolio; Efficient frontier; Separation theorem; Value at risk (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002344

DOI: 10.1016/j.irfa.2022.102278

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