In this paper we extend the notion of stochastic efficiency and inefficiency in portfolio optimization to the case of incomplete information by means of set-valued probabilities. The notion of set-valued probability models the concept of incomplete information about the underlying probability space and the probability associated with each scenario. Unlike other approaches in literature, our notion of inefficiency is introduced by means of the Monge–Kantorovich metric. We provide some numerical examples to illustrate this approach.
La Torre, D., Mendivil, F. (2022). Stochastic efficiency and inefficiency in portfolio optimization with incomplete information: a set-valued probability approach. ANNALS OF OPERATIONS RESEARCH, 311(2), 1085-1098 [10.1007/s10479-020-03886-0].
Stochastic efficiency and inefficiency in portfolio optimization with incomplete information: a set-valued probability approach
La Torre, D.;
2022
Abstract
In this paper we extend the notion of stochastic efficiency and inefficiency in portfolio optimization to the case of incomplete information by means of set-valued probabilities. The notion of set-valued probability models the concept of incomplete information about the underlying probability space and the probability associated with each scenario. Unlike other approaches in literature, our notion of inefficiency is introduced by means of the Monge–Kantorovich metric. We provide some numerical examples to illustrate this approach.I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
