Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach
نویسندگان
چکیده
منابع مشابه
Portfolio Selection with Parameter and Model Uncertainty ∗
In this paper, we extend the mean-variance portfolio model to explicitly account for uncertainty about the estimated expected returns and/or the underlying return-generating model. We do this by first imposing an additional constraint on the mean-variance portfolio optimization program that restricts each parameter to lie within a specified confidence interval of its estimated value, and then b...
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ژورنال
عنوان ژورنال: Review of Financial Studies
سال: 2006
ISSN: 0893-9454,1465-7368
DOI: 10.1093/rfs/hhl003