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: C02 G11 (search for similar items in EconPapers)
Date: 2004-06-01
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