Portfolio selections under mean-variance preference with multiple priors for means and variances

DOI10.1007/s10436-016-0291-7zbMath1398.91546OpenAlexW2564516895MaRDI QIDQ525212

Yuki Shigeta

Publication date: 28 April 2017

Published in: Annals of Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10436-016-0291-7

zbMATH Keywords

ambiguity aversionmultiple priorsequally weighted portfolioglobal minimum-variance portfoliomaxmin expected utility modelmean-variance preference

Mathematics Subject Classification ID

Utility theory (91B16) Individual preferences (91B08) Portfolio theory (91G10)

Related Items

Quadratic minimization with portfolio and intertemporal wealth constraints

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