Ambiguous Risk Measures and Optimal Robust Portfolios

@article{Calafiore2007AmbiguousRM,
  title={Ambiguous Risk Measures and Optimal Robust Portfolios},
  author={Giuseppe Carlo Calafiore},
  journal={SIAM Journal on Optimization},
  year={2007},
  volume={18},
  pages={853-877}
}
This paper deals with a problem of guaranteed (robust) financial decision-making under model uncertainty. An efficient method is proposed for determining optimal robust portfolios of risky financial instruments in the presence of ambiguity (uncertainty) on the probabilistic model of the returns. Specifically, it is assumed that a nominal discrete return distribution is given, while the true distribution is only known to lie within a distance d from the nominal one, where the distance is… CONTINUE READING
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