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Finding common ground when experts disagree : belief dominance over portfolios of alternatives

Baker, Erin; Bosetti, Valentina; Salo, Ahti A. - 2016

We address the problem of choosing a portfolio of policies under "deep uncertainty." We introduce the idea of belief dominance as a way to derive a set of non-dominated portfolios and robust individual alternatives. Our approach departs from the tradition of providing a single recommended...

Persistent link: https://www.econbiz.de/10011504367

Collective risk-taking decisions with heterogeneous beliefs

Gollier, Christian - 2003

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

Persistent link: https://www.econbiz.de/10011507677

Real time investments with adequate portfolio theory

Kvietkauskieṅe, Alina - In: Entrepreneurial business and economics review : EBER 2 (2014) 4, pp. 85-100

Persistent link: https://www.econbiz.de/10011450055

Uncertainty in the Black-Litterman model : a practical note

Fuhrer, Adrian; Hock, Thorsten - 2019 - Version: July 15, 2019

Deriving an optimal asset allocation for institutional investors hinges crucially on the quality of inputs used in the optimization. If the mean vector and the covariance matrix are known with certainty, the classical mean-variance optimization of Markowitz (1952) produces optimal portfolios....

Persistent link: https://www.econbiz.de/10012042184

Investment opportunities, uncertain implicit transaction costs and maximum downside risk in dynamic stochastic financial optimization

Mushori, Sabastine; Chikobvu, Delson - In: International journal of economics and financial issues … 8 (2018) 4, pp. 256-264

Persistent link: https://www.econbiz.de/10011979576

Maximum probabilities, information, and choice under uncertainty

Burghart, Dan - In: Economics letters 167 (2018), pp. 43-47

Persistent link: https://www.econbiz.de/10012015769

Robustness-based portfolio optimization under epistemic uncertainty

Asadujjaman, Md.; Zaman, Kais - In: Journal of industrial engineering international 15 (2019) 2, pp. 207-219

-based approach. This paper first proposes a nested robustness-based portfolio optimization formulation using the moment bounding … approach is then proposed to un-nest the robustness-based portfolio optimization from the analysis of epistemic variables to … discussed empirically based on portfolio return and risk. …

Persistent link: https://www.econbiz.de/10012020120

Policy uncertainty and bank bailouts

Caliendo, Frank; Guo, Nick L.; Smith, Jason M. - In: Journal of financial markets 39 (2018), pp. 111-125

Persistent link: https://www.econbiz.de/10012001892

Multi-period and tri-objective uncertain portfolio selection model : A behavioral approach

Jin, Xiu; Chen, Na; Yuan, Ying - In: The North American journal of economics and finance : a … 47 (2019), pp. 492-504

Persistent link: https://www.econbiz.de/10012120121

Managing ambiguity in asset allocation

Kaya, Hakan - In: The journal of asset management 18 (2017) 3, pp. 163-187

Persistent link: https://www.econbiz.de/10011704212