Portfolio selection with parameter uncertainty under \(\alpha\) maxmin mean-variance criterion

DOI10.1016/j.orl.2020.08.008OpenAlexW3083001444MaRDI QIDQ2661552

Xingying Yu, Kun Fan, Yang Shen, Xiang Li

Publication date: 7 April 2021

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.orl.2020.08.008

zbMATH Keywords

uncertaintyambiguity aversionportfolio selectionambiguity seekingquasi-efficient frontier

Mathematics Subject Classification ID

Operations research, mathematical programming (90-XX)

Related Items (1)

Equilibrium investment and reinsurance strategies under smooth ambiguity with a general second-order distribution

Cites Work

• Preference and belief: ambibiguity and competence in choice under uncertainty
• Maxmin expected utility with non-unique prior
• Alpha-robust mean-variance reinsurance-investment strategy
• Differentiating ambiguity and ambiguity attitude
• Risk, Ambiguity, and the Savage Axioms
• The Price of Robustness
• Robust utility maximization with extremely ambiguity-loving and ambiguity-aversion preferences
• Equilibrium Strategies for Alpha-Maxmin Expected Utility Maximization
• Probabilistic Sophistication and Multiple Priors
• Dynamically consistent alpha‐maxmin expected utility

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