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The classification of parametric choices under uncertainty: analysis of the portfolio choice problem

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  • Sergio Ortobelli Lozza

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Abstract

This paper describes the admissible classes of parametric distribution functions of return portfolios and analyzes their consistency with the maximization of the expected utility. In particular, we present a general theory and a unifying framework with the following aims: (1) studying the implications of the classical market restrictions on the portfolio distributions; (2) establishing general rules of ordering, when the uncertain prospect depends by a finite number of parameters; (3) understanding how a dispersion measure has to be used, in order to obtain the investors' optimal portfolios. Copyright Kluwer Academic Publishers 2001

Suggested Citation

  • Sergio Ortobelli Lozza, 2001. "The classification of parametric choices under uncertainty: analysis of the portfolio choice problem," Theory and Decision, Springer, vol. 51(2), pages 297-328, December.
  • Handle: RePEc:kap:theord:v:51:y:2001:i:2:p:297-328 DOI: 10.1023/A:1015511211848
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    References listed on IDEAS

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    Cited by:

    1. Egozcue, Martin & Wong, Wing-Keung, 2010. "Gains from diversification on convex combinations: A majorization and stochastic dominance approach," European Journal of Operational Research, Elsevier, vol. 200(3), pages 893-900, February.
    2. Zhang, Wei-Guo & Xiao, Wei-Lin & Xu, Wei-Jun, 2010. "A possibilistic portfolio adjusting model with new added assets," Economic Modelling, Elsevier, vol. 27(1), pages 208-213, January.

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