Annals of operations research, 2022-04, Vol.311 (2), p.1085-1098
2022
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Details
- Autor(en) / Beteiligte
- Titel
- Stochastic efficiency and inefficiency in portfolio optimization with incomplete information: a set-valued probability approach
- Ist Teil von
- Annals of operations research, 2022-04, Vol.311 (2), p.1085-1098
- Ort / Verlag
- New York: Springer US
- Erscheinungsjahr
- 2022
- Quelle
- Business Source Ultimate
- Beschreibungen/Notizen
- In this paper we extend the notion of stochastic efficiency and inefficiency in portfolio optimization to the case of incomplete information by means of set-valued probabilities. The notion of set-valued probability models the concept of incomplete information about the underlying probability space and the probability associated with each scenario. Unlike other approaches in literature, our notion of inefficiency is introduced by means of the Monge–Kantorovich metric. We provide some numerical examples to illustrate this approach.
- Sprache
- Englisch
- Identifikatoren
- ISSN: 0254-5330eISSN: 1572-9338DOI: 10.1007/s10479-020-03886-0Titel-ID: cdi_proquest_journals_2662162339
- Format
- –
- Schlagworte
- Business and Management, Combinatorial probabilities, Combinatorics, Geometric probabilities, Mathematical optimization, Methods, Operations research, Operations Research/Decision Theory, Optimization, Portfolio management, Probabilities, Probability, Probability theory, S.i.: Mopgp19, Theory of Computation