Portfolio management under epistemic uncertainty using stochastic dominance and information-gap theory

DOI10.1016/J.IJAR.2007.07.011MaRDI QIDQ2379322zbMATH OpenOpenAlexFDO

Authors Jean-Philippe Argaud, F. Barjon, M.-P. Cheong, M. Dancre, G. Sheble, C.-C. Teoh, Daniel J. Berleant, Laetitia Andrieu

Publication date 19 March 2010

Published in International Journal of Approximate Reasoning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.ijar.2007.07.011

zbMATH Keywords

epistemic uncertaintyfinanceimprecise probabilitiesinfo-gapinformation-gapportfolioprobability boxesstochastic dominance

Mathematics Subject Classification ID

Reasoning under uncertainty in the context of artificial intelligence (68T37) Portfolio theory (91G10)

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Cites work

• Convex Analysis
• Joint propagation of probability and possibility in risk analysis: towards a formal framework

Cited in

(4)

• Portfolio diversification based on stochastic dominance under incomplete probability information
• Enhanced indexing for risk averse investors using relaxed second order stochastic dominance
• Welfare effects of information and rationality in portfolio decisions under parameter uncertainty
• Optimization with multivariate stochastic dominance constraints

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