PInar, M. Ç.Paç, A. B.2015-07-282015-07-282014-03-150377-0427http://hdl.handle.net/11693/12940We 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.EnglishPortfolio ChoiceEllipsoidal UncertaintyLower Partial MomentsDistributional RobustnessAdjustable RobustnessDynamic Portfolio RulesArticle10.1016/j.cam.2013.06.0281879-1778