4.7 Article

A non-probabilistic approach to efficient portfolios

期刊

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

向作者/读者索取更多资源

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.

作者

我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。

评论

主要评分

4.7
评分不足

次要评分

新颖性
-
重要性
-
科学严谨性
-
评价这篇论文

推荐

暂无数据
暂无数据