Investors often need to look for an optimal portfolio acting under ambiguity, as they may not be able to single out a unique realworld probability measure. In this paper a discrete-time dynamic portfolio selection problem is studied, referring to an -contaminated binomial market model and assuming investors’ preferences are consistent with the Choquet expected utility theory. We formulate the portfolio selection problem for a CRRA utility function in terms of the terminal wealth, and provide a characterization of the optimal solution in the case stock price returns are uniformly distributed. In this case, we further investigate the effect of the contamination parameter epsilon on the optimal portfolio.

Dynamic Portfolio Selection Under Ambiguity in the $$epsilon $$-Contaminated Binomial Model / Antonini, Paride; Petturiti, Davide; Vantaggi, Barbara. - (2020), pp. 210-223. - COMMUNICATIONS IN COMPUTER AND INFORMATION SCIENCE. [10.1007/978-3-030-50143-3_16].

Dynamic Portfolio Selection Under Ambiguity in the $$epsilon $$-Contaminated Binomial Model

Vantaggi, Barbara
2020

Abstract

Investors often need to look for an optimal portfolio acting under ambiguity, as they may not be able to single out a unique realworld probability measure. In this paper a discrete-time dynamic portfolio selection problem is studied, referring to an -contaminated binomial market model and assuming investors’ preferences are consistent with the Choquet expected utility theory. We formulate the portfolio selection problem for a CRRA utility function in terms of the terminal wealth, and provide a characterization of the optimal solution in the case stock price returns are uniformly distributed. In this case, we further investigate the effect of the contamination parameter epsilon on the optimal portfolio.
2020
Information Processing and Management of Uncertainty in Knowledge-Based Systems
978-3-030-50142-6
978-3-030-50143-3
Ambiguity; Optimal portfolio; epsilon-Contamination model; Choquet integra
02 Pubblicazione su volume::02a Capitolo o Articolo
Dynamic Portfolio Selection Under Ambiguity in the $$epsilon $$-Contaminated Binomial Model / Antonini, Paride; Petturiti, Davide; Vantaggi, Barbara. - (2020), pp. 210-223. - COMMUNICATIONS IN COMPUTER AND INFORMATION SCIENCE. [10.1007/978-3-030-50143-3_16].
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11573/1409777
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