Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity

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dc.citation.epage405en_US
dc.citation.issueNumberPart Ben_US
dc.citation.spage394en_US
dc.citation.volumeNumber259en_US
dc.contributor.authorPInar, M. Ç.en_US
dc.contributor.authorPaç, A. B.en_US
dc.date.accessioned2015-07-28T12:04:00Z
dc.date.available2015-07-28T12:04:00Z
dc.date.issued2014-03-15en_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.description.abstractWe consider the problem of optimal portfolio choice using the lower partial moments risk measure for a market consisting of n risky assets and a riskless asset. For when the mean return vector and variance/covariance matrix of the risky assets are specified without specifying a return distribution, we derive distributionally robust portfolio rules. We then address potential uncertainty (ambiguity) in the mean return vector as well, in addition to distribution ambiguity, and derive a closed-form portfolio rule for when the uncertainty in the return vector is modelled via an ellipsoidal uncertainty set. Our result also indicates a choice criterion for the radius of ambiguity of the ellipsoid. Using the adjustable robustness paradigm we extend the single-period results to multiple periods, and derive closed-form dynamic portfolio policies which mimic closely the single-period policy.en_US
dc.identifier.doi10.1016/j.cam.2013.06.028en_US
dc.identifier.eissn1879-1778
dc.identifier.issn0377-0427
dc.identifier.urihttp://hdl.handle.net/11693/12940
dc.language.isoEnglishen_US
dc.publisherElsevieren_US
dc.relation.isversionofhttp://dx.doi.org/10.1016/j.cam.2013.06.028en_US
dc.source.titleJournal of Computational and Applied Mathematicsen_US
dc.subjectPortfolio Choiceen_US
dc.subjectEllipsoidal Uncertaintyen_US
dc.subjectLower Partial Momentsen_US
dc.subjectDistributional Robustnessen_US
dc.subjectAdjustable Robustnessen_US
dc.subjectDynamic Portfolio Rulesen_US
dc.titleMean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguityen_US
dc.typeArticleen_US
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