Concepedia

Portfolio selection with parameter uncertainty under <mml:math xmlns:mml="http://www.w3.org/1998/Math/MathML" display="inline" id="d1e20" altimg="si2.svg"><mml:mi>α</mml:mi></mml:math> maxmin mean–variance criterion

Xingying Yu, Yang Shen, Xiang Li, Kun Fan

Operations Research Letters · 2020 · 12 citations · 14 references

DOI

Concepts

References

14

Risk, Ambiguity, and the Savage Axioms

Daniel Ellsberg · The Quarterly Journal of Economics · 1961 · 7.9K citations

, , +12

The Price of Robustness

Dimitris Bertsimas, Melvyn Sim · Operations Research · 2004 · 4.4K citations

, , +15

Maxmin expected utility with non-unique prior

Itzhak Gilboa, David Schmeidler · Journal of Mathematical Economics · 1989 · 4.2K citations

, , +8

On estimating the expected return on the market

Robert C. Merton · Journal of Financial Economics · 1980 · 2.9K citations

, , +12

Preference and belief: Ambiguity and competence in choice under uncertainty

Chip Heath, Amos Tversky · Journal of Risk and Uncertainty · 1991 · 1.7K citations

, , +10