Portfolio selection under model uncertainty: a penalized moment-based optimization approach
نویسندگان
چکیده
منابع مشابه
Portfolio selection under model uncertainty: a penalized moment-based optimization approach
We present a new approach that enables investors to seek a reasonably robust policy for portfolio selection in the presence of rare but high-impact realization of moment uncertainty. In practice, portfolio managers face diffculty in seeking a balance between relying on their knowledge of a reference financial model and taking into account possible ambiguity of the model. Based on the concept of...
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ژورنال
عنوان ژورنال: Journal of Global Optimization
سال: 2012
ISSN: 0925-5001,1573-2916
DOI: 10.1007/s10898-012-9969-1