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Maxmin Portfolio Choice

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Author Info
Marco Taboga () (Bank of Italy, Economic Research Department)

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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.

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File URL: http://www.bancaditalia.it/pubblicazioni/econo/temidi/td05/td543_05/td543/tema_543.pdf
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Publisher Info
Paper provided by Bank of Italy, Economic Research Department in its series Temi di discussione (Economic working papers) with number 543.

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Date of creation: Feb 2005
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Handle: RePEc:bdi:wptemi:td_543_05

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Web page: http://www.bancaditalia.it
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Related research
Keywords: Portfolio choice; parameter uncertainty; robustness.;

Find related papers by JEL classification:
G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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  1. Guiso, Luigi & Parigi, Giuseppe, 1996. "Investment and Demand Uncertainty," CEPR Discussion Papers 1497, C.E.P.R. Discussion Papers. [Downloadable!] (restricted)
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This page was last updated on 2009-12-4.

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