Forward robust portfolio selection: The binomial case

作     者：Harrison Waldon Harrison Waldon

作者机构：Oaford-Man Institute of Quantitative FinanceUniversity of OafordEagle House Walton Well RoadOrfordOX26EDUK 

出 版 物：《Probability, Uncertainty and Quantitative Risk》 (概率、不确定性与定量风险（英文）)

年 卷 期：2024年第9卷第1期

页      面：107-122页

学科分类：07[理学] 0701[理学-数学] 070101[理学-基础数学] 

主　　题：Forward robust portfolio selection Binomial case Optimal portfolio Forward performance processes Linear utilities Quadratic utilities Robust forward performance criteria 

摘      要：We introduce a new approach for optimal portfolio choice under model ambiguity by incorporating predictable forward preferences in the framework of Angoshtari et al.[2].The investor reassesses and revises the model ambiguity set incrementally in time while,also,updating his risk preferences forward in *** dynamic alignment of preferences and ambiguity updating results in time-consistent policies and provides a richer,more accurate learning *** each investment period,the investor solves a worst-case portfolio optimization over possible market models,which are represented via a Wasserstein neighborhood centered at a binomial *** methods from Gao and Kleywegt[10];Blanchet and Murthy[8]are used to solve the optimization problem over a suitable set of measures,yielding an explicit optimal portfolio in the linear *** analyze the case of linear and quadratic utilities,and provide numerical results.