Kellerer, Belinda - In: Junior Management Science (JUMS) 4 (2019) 3, pp. 305-338
This thesis analyses whether considering ambiguity aversion in portfolio optimization improves the out …-of-sample performance of portfolio optimization approaches. Furthermore, it is assessed which role ambiguity aversion plays in improving the … portfolio performance, especially compared with the role of estimation errors. This is done by evaluating the out …