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A non-probabilistic approach to efficient portfolios

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  • 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

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    1. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
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    5. D. Goldfarb & G. Iyengar, 2003. "Robust Portfolio Selection Problems," Mathematics of Operations Research, INFORMS, vol. 28(1), pages 1-38, February.
    6. Alireza Ghahtarani & Ahmed Saif & Alireza Ghasemi, 2021. "Robust Portfolio Selection Problems: A Comprehensive Review," Papers 2103.13806, arXiv.org, revised Jan 2022.
    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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