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Robust asset allocation under model risk

Tobelem-Foldvari, Sandrine and Barrieu, Pauline (2009) Robust asset allocation under model risk. Risk Magazine, 76 . pp. 91-95. ISSN 0952-8776

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Abstract

Financial investors often develop a multitude of models to explain financial securities’ dynamics, none of which they can fully trust. model risk (also referred to as ambiguity) prevents investors from using the classical framework of expected utility maximisation to calculate optimal portfolio allocations. We propose an easily implementable approach to account for model risk in a robust way.

Item Type: Article
Official URL: http://www.risk.net/
Additional Information: © 2009 Risk Magazine
Library of Congress subject classification: H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
Sets: Departments > Statistics
Rights: http://www.lse.ac.uk/library/usingTheLibrary/academicSupport/OA/depositYourResearch.aspx
Date Deposited: 27 Nov 2009 14:03
URL: http://eprints.lse.ac.uk/25984/

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