1,239
Views
177
CrossRef citations to date
0
Altmetric
Original Articles

Ambiguity in portfolio selection

&
Pages 435-442 | Received 27 Sep 2006, Accepted 16 May 2007, Published online: 22 Aug 2007

References

  • Ben-Tal , A and Nemirovski , A . 2002 . Robust optimization---methodology and applications . Math. Program. Ser. B , 92 ( 3 ) : 453 – 480 .
  • Byrd , RH , Gould , NIM , Nocedal , J and Waltz , RA . 2005 . On the convergence of successive linear-quadratic programming algorithms . SIAM J. Optim. , 16 ( 2 ) : 471 – 489 . (electronic)
  • Chopra , VK and Ziemba , WT . 1993 . The effect of errors in means, variances and covariances on optimal portfolio choice . J. Portfolio Manag. , 19 : 6 – 11 .
  • Clemen , RT and Winkler , RT . 1999 . Combining probability distributions from experts in risk analysis . Risk Anal. , 19 ( 2 ) : 187 – 203 .
  • Dall'Aglio , G . 1972 . “ Fréchet classes and compatibility of distribution functions ” . In Symposia Mathematica, Vol IX (Convegno di Calcolo delle Probabilità, INDAM, Rome, 1971) , 131 – 150 . London : Academic Press .
  • Delbaen , F . 2002 . “ Coherent measures of risk on general probability spaces ” . In Advances in Finance and Stochastics. Essays in Honour of Dieter Sondermann , Edited by: Sandmann , K. and Schönbucher , P.J. 1 – 38 . New York : Springer Verlag .
  • Dudley , RM . 1968 . The speed of mean Glivenko-Cantelli convergence . Ann. Math. Statist. , 40 : 40 – 50 .
  • Ellsberg , D . 1961 . Risk, ambiguity, and the savage axioms . Q. J. Econ. , 75 ( 4 ) : 643 – 669 .
  • Föllmer , H and Schied , A . 2002 . Convex measures of risk and trading constraints . Finance Stoch. , 6 : 429 – 447 .
  • Fortet , R and Mourier , E . 1953 . Convergence de la répartition empirique vers la répartition théorique . Ann. Sci. Ecole Norm. , 70 ( Sup. 3 ) : 267 – 285 .
  • Goldfarb , D and Iyengar , G . 2003 . Robust portfolio selection problems . Math. Oper. Res. , 28 ( 1 ) : 1 – 38 .
  • Kersting , G-D. 1978 . Die Geschwindigkeit der Glivenko-Cantelli-Konvergenz gemessen in der Prohorov-Metrik . Math. Z. , 163 ( 1 ) : 65 – 102 .
  • Klein , RW and Bawa , VS . 1976 . The effect of estimation risk on optimal portfolio choice . J. Financ. Econ. , 3 ( 3 ) : 215 – 231 .
  • Knight , FH . 1921 . Risk, Uncertainty and Profit , Boston, MA : Houghton Mifflin Company .
  • Markowitz , HM . 1959 . “ Portfolio selection: Efficient diversification of nvestments ” . In Cowles Foundation for Research in Economics at Yale University, Monograph 16 , New York : John Wiley & Sons Inc. .
  • Nemirovskii , A and Yudin , DB . 1978 . Cesaro convergence of the gradient method for approximation of saddle points of convex-concave functions . Dokl. AN SSSR , 239 : 1056 – 1059 .
  • Pflug , GCh. 2006 . Subdifferential representations of risk measures . Math. Program. Ser. B , 108 ( 2--3 ) : 339 – 354 .
  • Rachev , ST . 1991 . “ Probability metrics and the stability of stochastic models ” . In Wiley Series in Probability and Mathematical Statistics: Applied Probability and Statistics , Chichester : John Wiley & Sons Ltd .
  • Rachev , ST and Rüschendorf , L . 1998 . Mass Transportation Problems, Vol I, Probability and its Applications , New York : Springer-Verlag .
  • Rockafellar , RT . 1976 . Monotone operators and the proximal point algorithm . SIAM J. Contr. Opt. , 14 ( 5 ) : 877 – 898 .
  • Rockafellar , RT . 1997 . “ Convex Analysis, in the series ” . In Princeton Landmarks in Mathematics , Princeton, NJ : Princeton University Press . [reprint of the 1970 original, Princeton Paperbacks]
  • Rockafellar , RT and Uryasev , S . 2000 . Optimization of conditional value-at-risk . J. Risk , 2 ( 3 ) : 21 – 41 .
  • Shapiro , A and Ahmed , S . 2004 . On a class of minimax stochastic programs . SIAM J. Optim. , 14 ( 4 ) : 1237 – 1249 . (electronic)
  • Tokat , Y , Rachev , S and Schwartz , E . 2003 . The stable non-gaussian asset allocation: a comparison with the classical gaussian approach . J. Econ. Dyn. Control , 27 : 937 – 969 .
  • Vallander , SS . 1973 . Calculation of the Wasserstein distance between probability distributions on the line . Theor. Prob. Appl. , 18 : 784 – 786 .
  • Yu , LY , Ji , XD and Wang , SY . 2003 . Stochastic programming models in financial optimization: a survey . Adv. Modeling Opt. , 5 ( 1 ) : 1 – 26 .
  • Zackova , J . 1966 . On minimax solutions of stochastic linear programming problems . Casopis Pĕst Math. , 91 : 423 – 430 .
  • Ziemba , WT and Vickson , RG . 1973 . Stochastic Optimization Models in Finance , London : Academic Press .

Reprints and Corporate Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

To request a reprint or corporate permissions for this article, please click on the relevant link below:

Academic Permissions

Please note: Selecting permissions does not provide access to the full text of the article, please see our help page How do I view content?

Obtain permissions instantly via Rightslink by clicking on the button below:

If you are unable to obtain permissions via Rightslink, please complete and submit this Permissions form. For more information, please visit our Permissions help page.