Optimal asset allocation: risk and information uncertainty

DOI10.1016/j.ejor.2015.11.011zbMath1346.91223OpenAlexW2183699649MaRDI QIDQ322719

Hailiang Yang, Fei Lung Yuen, Sheung Chi Phillip Yam

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/10722/231318

zbMATH Keywords

relative entropyuncertainty modellinguncertainty measureasset allocationmean-variance approach

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (7)

Recent advancements in robust optimization for investment management ⋮ Entropy based risk measures ⋮ Data-driven robust mean-CVaR portfolio selection under distribution ambiguity ⋮ Robust mean variance optimization problem under Rényi divergence information ⋮ A Game Theoretical Approach to Homothetic Robust Forward Investment Performance Processes in Stochastic Factor Models ⋮ On the uncertainty of VaR of individual risk ⋮ A practical guide to robust portfolio optimization

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