A Bounded Risk Strategy for a Market with Non-Observable Parameters

The paper investigates a problem of bounded risk portfolio selection for a multi-period market in the case when only historical prices are available, and all market parameters are not observable. We present a strategy which bounds risk closely to a risk-free investment and guarantees at the same time a positive average gain for any non-risk-neutral probability measure

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Year of publication:	[2002]
Authors:	Dokuchaev, Nikolai
Other Persons:	Savkin, Andrey V. (contributor)
Publisher:	[2002]: [S.l.] : SSRN
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Notes:	In: Insurance: Mathematics and Economics, Vol. 30, Pp. 243-254, 2002 Volltext nicht verfügbar
Classification:	C44 - Statistical Decision Theory; Operations Research ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; D84 - Expectations; Speculations ; G11 - Portfolio Choice
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012787134