Portfolio optimization under partial uncertainty and incomplete information: a probability multimeasure-based approach
2018, Annals of Operations Research, 267, pp.267-279
Abstract
Markowitz’s work has had a major impact on academic research and the financial industry as a whole. The main idea of his model is risk aversion of average investors and their desire to maximise the expected return with the least risk. In this paper we extend the classical Markowitz’s model by introducing a portfolio optmization model in which the underlying space of events is described in terms of a probability multimeasure. The notion of probability multimeasure allows to formalize the formalize of imprecise probability measure and incomplete information.