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.

Stochastic efficiency and inefficiency in portfolio optimization with incomplete information: a set-valued probability approach / D. La Torre, F. Mendivil. - In: ANNALS OF OPERATIONS RESEARCH. - ISSN 0254-5330. - 311:2(2022), pp. 1085-1098. [10.1007/s10479-020-03886-0]

Stochastic efficiency and inefficiency in portfolio optimization with incomplete information: a set-valued probability approach

D. La Torre
Primo
;
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.
Imprecise probability; Portfolio optimization; Set-valued optimization; Set-valued probability; Stochastic efficiency; Stochastic inefficiency
Settore MAT/09 - Ricerca Operativa
2022
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2434/963682
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