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

International Journal of Approximate Reasoning

Volumn 49, Issue 1, 2008, Pages 101-116

  Berleant, D ^a   Andrieu, L ^b   Argaud, J P ^b   Barjon, F ^b   Cheong, M P ^c   Dancre, M ^b   Sheble, G ^c   Teoh, C C ^c  

^a University of Arkansas at Little Rock   (United States)

^b EDF R AND D   (France)

^c PORTLAND STATE UNIVERSITY   (United States)

Author keywords

Epistemic uncertainty; Finance; Imprecise probabilities; Info gap; Information gap; Portfolio; Probability boxes; Stochastic dominance

Indexed keywords

ADMINISTRATIVE DATA PROCESSING; FINANCE; FINANCIAL DATA PROCESSING; GALLIUM ALLOYS; INFORMATION MANAGEMENT; INVESTMENTS; RISK ANALYSIS; RISK ASSESSMENT; SET THEORY; STANDARDS; STOCHASTIC PROGRAMMING;

EPISTEMIC UNCERTAINTIES; EPISTEMIC UNCERTAINTY; EXPECTED RETURN; IMPRECISE PROBABILITIES; INFO-GAP; INFORMATION-GAP; MEAN-RISK; MODEL UNCERTAINTIES; OPTIMAL PORTFOLIOS; OPTIMIZING PERFORMANCE; PORTFOLIO; PORTFOLIO ANALYSIS; PORTFOLIO INVESTMENTS; PORTFOLIO MANAGEMENTS; PORTFOLIO SELECTION; PROBABILITY BOXES; RISK CONSTRAINTS; STOCHASTIC DOMINANCE;

UNCERTAINTY ANALYSIS;

EID: 48749128388     PISSN: 0888613X     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.ijar.2007.07.011     Document Type: Article

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