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Ambiguity in portfolio selection

QUANTITATIVE FINANCE, no. 4 (2007): 435-442

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In this paper, we consider the problem of finding optimal portfolios in cases when the underlying probability model is not perfectly known. For the sake of robustness, a maximin approach is applied which uses a 'confidence set' for the probability distribution. The approach shows the tradeoff between return, risk and robustness in view of...更多

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