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A Simple Model of Robust Portfolio Selection

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  • Taboga, Marco

Abstract

We propose a single-period portfolio selection model which allows the decision maker to easily deal with uncertainty about the distribution of asset returns. The model is preference-based and relies upon a separate parametrization of risk aversion and ambiguity aversion. A particular specification of preferences allows us to solve the portfolio selection problem and obtain a simple closed-form expression for the portfolio weights, which lends itself to a straightforward economic interpretation.

Suggested Citation

  • Taboga, Marco, 2004. "A Simple Model of Robust Portfolio Selection," MPRA Paper 16472, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:16472
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Portfolio selection; robustness; ambiguity.;
    All these keywords.

    JEL classification:

    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics

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