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Maxmin Portfolio Choice

Author

Listed:
  • Marco Taboga

    (Bank of Italy, Economic Research Department)

Abstract

We solve two robust portfolio selection problems, where a maxmin criterion is adopted to deal with parameter uncertainty. The two models, which yield closed formulae for the optimal allocation, lend themselves to be thoroughly analyzed both from a geometric and a game-theoretic point of view.

Suggested Citation

  • Marco Taboga, 2005. "Maxmin Portfolio Choice," Temi di discussione (Economic working papers) 543, Bank of Italy, Economic Research and International Relations Area.
    • Handle: RePEc:bdi:wptemi:td_543_05
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    File URL: http://www.bancaditalia.it/pubblicazioni/temi-discussione/2005/2005-0543/tema_543.pdf
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    More about this item

    Keywords

    Portfolio choice; parameter uncertainty; robustness.;
    All these keywords.

    JEL classification:

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

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