Portfolio management under epistemic uncertainty using stochastic dominance and information-gap theory

Portfolio management in finance is more than a mathematical problem of optimizing performance under risk constraints. A critical factor in practical portfolio problems is severe uncertainty

• Type: Journal
• Year: 2008
• Where: IJAR
• Authors: Daniel Berleant, L. Andrieu, Jean-Philippe Argaud, F. Barjon, Mei-Peng Cheong, Mathieu Dancre, Gerald B. Sheblé, C.-C. Teoh
• Keywords: IJAR 2008, Portfolio Investment Goals, Practical Portfolio Problems, Severe Uncertainty