Minimax Portfolio Optimization Under Interval Uncertainty

DOI 機関リポジトリ Web Site Web Site Web Site 研究データあり 参考文献4件
  • Yuan Meng
    Graduate School of Information, Production, and Systems, Waseda University
  • Lin Xu
    Graduate School of Information, Production, and Systems, Waseda University
  • Watada Junzo
    Graduate School of Information, Production, and Systems, Waseda University
  • Kreinovich Vladik
    Department of Computer Science, University of Texas at El Paso

この論文をさがす

抄録

<p>In the 1950s, Markowitz proposed to combine different investment instruments to design a portfolio that either maximizes the expected return under constraints on volatility (risk) or minimizes the risk under given expected return. Markowitz’s formulas are still widely used in financial practice. However, these formulas assume that we know the exact values of expected return and variance for each instrument, and that we know the exact covariance of every two instruments. In practice, we only know these values with some uncertainty. Often, we only know the lower and upper bounds on these values – i.e., in other words, we only know the intervals that contain these values. In this paper, we show how to select an optimal portfolio under such interval uncertainty.</p>

収録刊行物

参考文献 (4)*注記

もっと見る

キーワード

詳細情報 詳細情報について

問題の指摘

ページトップへ