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Good deals and benchmarks in robust portfolio selection

Author

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  • Balbás, Alejandro
  • Balbás, Beatriz
  • Balbás, Raquel

Abstract

This paper deals with portfolio selection problems under risk and ambiguity. The investor may be ambiguous with respect to the set of states of nature and their probabilities. Both static and discrete or continuous time dynamic pricing models are included in the analysis. Risk and ambiguity are measured in general settings. The considered risk measures contain, as particular cases, the usual deviations and the coherent and expectation bounded measures of risk.

Suggested Citation

  • Balbás, Alejandro & Balbás, Beatriz & Balbás, Raquel, 2016. "Good deals and benchmarks in robust portfolio selection," European Journal of Operational Research, Elsevier, vol. 250(2), pages 666-678.
    • Handle: RePEc:eee:ejores:v:250:y:2016:i:2:p:666-678
    DOI: 10.1016/j.ejor.2015.09.023
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