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Maxmin Portfolio Choice

Marco Taboga (marco.taboga@bancaditalia.it)
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Marco Taboga: Bank of Italy, Economic Research Department

No 543, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: We solve two robust portfolio selection problems, where a maxmin criterion is adopted to deal with parameter uncertainty. The two models, which yield closed formulae for the optimal allocation, lend themselves to be thoroughly analyzed both from a geometric and a game-theoretic point of view.

Keywords: Portfolio choice; parameter uncertainty; robustness. (search for similar items in EconPapers)
JEL-codes: G11 (search for similar items in EconPapers)
Date: 2005-02
New Economics Papers: this item is included in nep-fin and nep-rmg
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