A Simple Model of Robust Portfolio Selection
AbstractWe 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.
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Bibliographic InfoPaper provided by University Library of Munich, Germany in its series MPRA Paper with number 16472.
Date of creation: 01 Jun 2004
Date of revision:
Portfolio selection; robustness; ambiguity.;
Find related papers by JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
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