Determining an Efficient Frontier in a Stochastic Moment Setting
We analyze the problem of portfolio optimization under uncertainty in the assets return distribution. After characterizing the problem using a general formulation involving the product space of the return distribution with the parameter distribution, we propose the use of penalty functions to solve...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Brazilian Society of Finance
2004-06-01
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| Series: | Revista Brasileira de Finanças |
| Subjects: | |
| Online Access: | http://virtualbib.fgv.br/ojs/index.php/rbfin/article/view/1137 |