Investor’s portfolio decision: perspective of parameter uncertainty

Figures & data

Table

Portfolio	Portfolio I	Portfolio II	Portfolio III
$\tilde{K}$	0.0153	0.0345	0.0212

Table

	$\zeta$
Portfolio	$\zeta =\text{0}$ ($K=\tilde{K}$)	$\zeta =\text{0}\text{.25}$	$\zeta =\text{0}\text{.5}$	$\zeta =\text{0}\text{.75}$	$\zeta =\text{1}$ ($K=0$)
Portfolio I	0.0153	0.0096	0.0086	0.0038	0
Portfolio II	0.0345	0.0194	0.0087	0.0022	0
Portfolio III	0.0212	0.012	0.0053	0.0013	0

Figure 1. Minimum variance frontiers of the risky assets under different uncertainty levels in Portfolio I.

Figure 2. Efficient frontiers of the risky assets under different uncertainty levels in Portfolio I.

Figure 3. Minimum variance frontiers of the risky assets under different uncertainty levels in Portfolio II.

Figure 4. Efficient frontiers of the risky assets under different uncertainty levels Portfolio II.

Figure 5. Minimum variance frontiers of the risky assets under different uncertainty levels Portfolio III.

Figure 6. Efficient frontiers of the risky assets under different uncertainty levels Portfolio III.