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A non-probabilistic approach to efficient portfolios

Author

Listed:
  • Sekine, Eiko
  • Yamanaka, Kazuo

Abstract

The notion of efficient portfolios is restated employing a novel approach to asset uncertainty, in which an uncertainty set conveys all information on asset returns. Based on the idea that a portfolio is a function mapping the asset returns to the portfolio return, the width of the image of the uncertainty set is used as a risk measure. The statement of the separation theorem is inherited. Furthermore, non-positive Value at Risk with 100% confidence is found in a class of efficient portfolios.

Suggested Citation

  • Sekine, Eiko & Yamanaka, Kazuo, 2022. "A non-probabilistic approach to efficient portfolios," International Review of Financial Analysis, Elsevier, vol. 83(C).
    • Handle: RePEc:eee:finana:v:83:y:2022:i:c:s1057521922002344
    DOI: 10.1016/j.irfa.2022.102278
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    References listed on IDEAS

    as
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    5. J. Tobin, 1958. "Liquidity Preference as Behavior Towards Risk," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 25(2), pages 65-86.
    6. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2022. "Robust portfolio selection problems: a comprehensive review," Operational Research, Springer, vol. 22(4), pages 3203-3264, September.
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Portfolio selection; Robust portfolio; Efficient frontier; Separation theorem; Value at risk;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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