On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets

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buir.contributor.authorPınar, Mustafa Çelebi
dc.citation.epage253en_US
dc.citation.issueNumber1-2en_US
dc.citation.spage223en_US
dc.citation.volumeNumber266en_US
dc.contributor.authorPaç, A. B.en_US
dc.contributor.authorPınar, Mustafa Çelebien_US
dc.date.accessioned2019-02-21T16:08:30Z
dc.date.available2019-02-21T16:08:30Z
dc.date.issued2018en_US
dc.departmentDepartment of Industrial Engineeringen_US
dc.description.abstractEffect of the availability of a riskless asset on the performance of naïve diversification strategies has been a controversial issue. Defining an investment environment containing both ambiguous and unambiguous assets, we investigate the performance of naïve diversification over ambiguous assets. For the ambiguous assets, returns follow a multivariate distribution involving distributional uncertainty. A nominal distribution estimate is assumed to exist, and the actual distribution is considered to be within a ball around this nominal distribution. Complete information is assumed for the return distribution of unambiguous assets. As the radius of uncertainty increases, the optimal choice on ambiguous assets is shown to converge to the uniform portfolio with equal weights on each asset. The tendency of the investor to avoid ambiguous assets in response to increasing uncertainty is proven, with a shift towards unambiguous assets. With an application on the CVaR risk measure, we derive rules for optimally combining uniform ambiguous portfolio with the unambiguous assets.
dc.description.provenanceMade available in DSpace on 2019-02-21T16:08:30Z (GMT). No. of bitstreams: 1 Bilkent-research-paper.pdf: 222869 bytes, checksum: 842af2b9bd649e7f548593affdbafbb3 (MD5) Previous issue date: 2018en
dc.identifier.doi10.1007/s10479-017-2619-8
dc.identifier.issn0254-5330
dc.identifier.urihttp://hdl.handle.net/11693/50417
dc.language.isoEnglish
dc.publisherSpringer New York LLC
dc.relation.isversionofhttps://doi.org/10.1007/s10479-017-2619-8
dc.source.titleAnnals of Operations Researchen_US
dc.subjectAmbiguous and unambiguous assetsen_US
dc.subjectConditional Value-at-Risken_US
dc.subjectNaïve diversificationen_US
dc.subjectRobust portfolio optimizationen_US
dc.subjectWorst-case risk measuresen_US
dc.titleOn robust portfolio and naïve diversification: mixing ambiguous and unambiguous assetsen_US
dc.typeArticleen_US

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