Munich Personal RePEc Archive

A Simple Model of Robust Portfolio Selection

Taboga, Marco (2004): A Simple Model of Robust Portfolio Selection.


Download (256kB) | Preview


We propose a single-period portfolio selection model which allows the decision maker to easily deal with uncertainty about the distribution of asset returns. The model is preference-based and relies upon a separate parametrization of risk aversion and ambiguity aversion. A particular specification of preferences allows us to solve the portfolio selection problem and obtain a simple closed-form expression for the portfolio weights, which lends itself to a straightforward economic interpretation.

MPRA is a RePEc service hosted by
the Munich University Library in Germany.