Abstract | ||
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•The worst scenario and the corresponding optimal portfolio are obtained.•Effect of risk premium uncertainty dominates that of covariance uncertainty.•Covariance does not necessarily increase with the level of uncertainty.•No investment on risk assets if the set of uncertainty measures is large.•Advantages of using relative entropy are identified and discussed. |
Year | DOI | Venue |
---|---|---|
2016 | 10.1016/j.ejor.2015.11.011 | European Journal of Operational Research |
Keywords | Field | DocType |
Uncertainty modelling,Uncertainty measure,Asset allocation,Mean-variance approach,Relative entropy | Econometrics,Mathematical optimization,Economics,Actuarial science,Basis risk,Investment strategy,Risk premium,Sensitivity analysis,Uncertainty analysis,Portfolio,Asset allocation,Ambiguity aversion | Journal |
Volume | Issue | ISSN |
251 | 2 | 0377-2217 |
Citations | PageRank | References |
3 | 0.39 | 8 |
Authors | ||
3 |
Name | Order | Citations | PageRank |
---|---|---|---|
Sheung Chi Phillip Yam | 1 | 33 | 5.94 |
Hailiang Yang | 2 | 62 | 12.18 |
Fei Lung Yuen | 3 | 18 | 2.64 |