Stochastic efficiency and inefficiency in portfolio optimization with incomplete information: a set-valued probability approach

Davide La Torre and F. Mendivil
Additional contact information
F. Mendivil: Acadia University

Annals of Operations Research, 2022, vol. 311, issue 2, No 23, 1085-1098

Abstract: Abstract In this paper we extend the notion of stochastic efficiency and inefficiency in portfolio optimization to the case of incomplete information by means of set-valued probabilities. The notion of set-valued probability models the concept of incomplete information about the underlying probability space and the probability associated with each scenario. Unlike other approaches in literature, our notion of inefficiency is introduced by means of the Monge–Kantorovich metric. We provide some numerical examples to illustrate this approach.

Keywords: Portfolio optimization; Set-valued probability; Imprecise probability; Set-valued optimization; Stochastic efficiency; Stochastic inefficiency (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://link.springer.com/10.1007/s10479-020-03886-0 Abstract (text/html)
Access to the full text of the articles in this series is restricted.

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:spr:annopr:v:311:y:2022:i:2:d:10.1007_s10479-020-03886-0

Ordering information: This journal article can be ordered from
http://www.springer.com/journal/10479

DOI: 10.1007/s10479-020-03886-0

Access Statistics for this article

Annals of Operations Research is currently edited by Endre Boros

More articles in Annals of Operations Research from Springer
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().