The Shapley value decomposition of optimal portfolios
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DOI: 10.1007/s10436-020-00380-2
Abstract: Investors want the ability to evaluate the true and complete risk of the financial assets held in a portfolio. Yet, the current analytic methods provide only partial risk measures. I suggest that, by viewing a… read more here.
Keywords: decomposition; risk; portfolio; value ... See more keywords
Optimal Portfolios under Time-Varying Investment Opportunities, Parameter Uncertainty, and Ambiguity Aversion
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DOI: 10.1017/s0022109019000425
Abstract: We study the implications of predictability on the optimal asset allocation of ambiguity-averse long-term investors and analyze the term structure of the multivariate risk–return trade-off considering parameter uncertainty. We calibrate the model to real returns… read more here.
Keywords: term; ambiguity; long term; optimal portfolios ... See more keywords
Conditions for the Existence of Absolutely Optimal Portfolios
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DOI: 10.3390/math9172032
Abstract: Let Δn be the n-dimensional simplex, ξ = (ξ1, ξ2,…, ξn) be an n-dimensional random vector, and U be a set of utility functions. A vector x*∈ Δn is a U -absolutely optimal portfolio if… read more here.
Keywords: absolutely optimal; portfolio; random vector; optimal portfolios ... See more keywords