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

被引：3
|
作者：
La Torre, D. [1 ]
Mendivil, F. [2 ]
机构：
[1] Univ Cote Azur, SKEMA Business Sch, Sophia Antipolis Campus, Sophia Antipolis, France
[2] Acadia Univ, Dept Math & Stat, Wolfville, NS, Canada
来源：
ANNALS OF OPERATIONS RESEARCH | 2022年 / 311卷 / 02期
基金：
加拿大自然科学与工程研究理事会;
关键词：
Portfolio optimization; Set-valued probability; Imprecise probability; Set-valued optimization; Stochastic efficiency; Stochastic inefficiency; DOMINANCE;
D O I：
10.1007/s10479-020-03886-0
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
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.
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页码：1085 / 1098
页数：14
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