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In this paper, we consider a mean–variance model that takes into account both the ambiguity-seeking and ambiguity-aversion attitudes.
It was observed from the return statistics of the back-test period that a hopeful investor can outperform the benchmark markets during times of pandemic and�...
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We propose a multi-stage stochastic mean absolute deviation model with random transaction costs in optimal portfolio selection. We take implicit costs incurred�...
Jan 11, 2022 � Two cases of parameter certainty are considered: uncertainty in the factor's mean and covariance matrix, and uncertainty in the sensitivity�...
In this paper, we develop α -robust (maxmin) models, where the Conditional Value-at-Risk (CVaR) is to be optimized under ambiguity in distribution, mean returns�...
This research paper explores the complicated connection between uncertainty and the Markowitz asset allocation framework.
The classical mean-variance model, proposed by Harry Markowitz in 1952, has been one of the most powerful tools in the field of portfolio optimization.
Aug 25, 2020 � We study the properties of the developed approach using critical examples of portfolios with interval and fuzzy valued returns.
Portfolio selection with parameter uncertainty under α maxmin mean-variance criterion � Option trading under uncertainty � Optimal reinsurance under the α-maxmin�...
Dec 6, 2023 � Abstract: This paper elucidates the impact of uncertainty on the Markowitz asset allocation and how it performs.