Portfolio management under epistemic uncertainty using stochastic dominance and information-gap theory
نویسندگان
چکیده
منابع مشابه
Portfolio management under epistemic uncertainty using stochastic dominance and information-gap theory
Portfolio management in finance is more than a mathematical problem of optimizing performance under risk constraints. A critical factor in practical portfolio problems is severe uncertainty – ignorance – due to model uncertainty. In this paper, we show how to find the best portfolios by adapting the standard risk-return criterion for portfolio selection to the case of severe uncertainty, such a...
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ژورنال
عنوان ژورنال: International Journal of Approximate Reasoning
سال: 2008
ISSN: 0888-613X
DOI: 10.1016/j.ijar.2007.07.011