Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach

DOI10.1007/s10479-016-2298-xzbMath1416.91355OpenAlexW2516131933MaRDI QIDQ1615957

Davide La Torre, Franklin Mendivil

Publication date: 31 October 2018

Published in: Annals of Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10479-016-2298-x

zbMATH Keywords

portfolio optimizationefficient frontierset-valued measureMarkowitz's modelprobability multimeasure

Mathematics Subject Classification ID

Set-valued set functions and measures; integration of set-valued functions; measurable selections (28B20) Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (5)

Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ Stochastic efficiency and inefficiency in portfolio optimization with incomplete information: a set-valued probability approach ⋮ Robust generalized Merton-type financial portfolio models with generalized utility ⋮ Robust second order cone conditions and duality for multiobjective problems under uncertainty data ⋮ Equilibrium reinsurance-investment strategies with partial information and common shock dependence

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