期刊
INTERNATIONAL REVIEW OF FINANCIAL ANALYSIS
卷 83, 期 -, 页码 -出版社
ELSEVIER SCIENCE INC
DOI: 10.1016/j.irfa.2022.102278
关键词
Portfolio selection; Robust portfolio; Efficient frontier; Separation theorem; Value at risk
This article restates the concept of efficient portfolios using a novel approach to asset uncertainty, where an uncertainty set conveys all information on asset returns. By considering a portfolio as a function mapping asset returns to the portfolio return, the width of the image of the uncertainty set is utilized as a risk measure. The separation theorem statement is inherited, and non-positive Value at Risk with 100% confidence is found in a class of efficient portfolios.
The notion of efficient portfolios is restated employing a novel approach to asset uncertainty, in which an uncertainty set conveys all information on asset returns. Based on the idea that a portfolio is a function mapping the asset returns to the portfolio return, the width of the image of the uncertainty set is used as a risk measure. The statement of the separation theorem is inherited. Furthermore, non-positive Value at Risk with 100% confidence is found in a class of efficient portfolios.
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