Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach. (English) Zbl 1416.91355
Summary: Markowitz’s work has had a major impact on academic research and the financial industry as a whole. The main idea of his model is risk aversion of average investors and their desire to maximise the expected return with the least risk. In this paper, we extend the classical Markowitz’s model by introducing a portfolio optmization model in which the underlying space of events is described in terms of a probability multimeasure. The notion of probability multimeasure allows to formalize the concept of imprecise probability measure and incomplete information.
MSC:
| 91G10 | Portfolio theory |
| 28B20 | Set-valued set functions and measures; integration of set-valued functions; measurable selections |
| 93E20 | Optimal stochastic control |
Keywords:
Markowitz’s model; set-valued measure; probability multimeasure; portfolio optimization; efficient frontierReferences:
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