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The 1/N investment strategy is optimal under high model ambiguity · Study

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ArticleThe 1/N investment strategy is optimal under high model ambiguity

Georg Ch. Pflug2011

Article2011

The 1/N investment strategy is optimal under high model ambiguity

Georg Ch. Pflug · Alois Pichler · David Wozabal

221 citations·0/0 files stored·Journal of Banking & Finance

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Risk and Portfolio Optimization Stochastic processes and financial applications Financial Risk and Volatility Modeling

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References

1981The Framing of Decisions and the Psychology of Choice 2003Maps of Bounded Rationality: Psychology for Behavioral Economics 2007Optimal Versus Naive Diversification: How Inefficient is the 1/ N Portfolio Strategy?2001Naive Diversification Strategies in Defined Contribution Saving Plans 2003Risk Reduction in Large Portfolios: Why Imposing the Wrong Constraints Helps 2009A Generalized Approach to Portfolio Optimization: Improving Performance by Constraining Portfolio Norms 2004Robust Portfolio Rules and Asset Pricing 2006Portfolio Selection with Parameter and Model Uncertainty: A Multi-Prior Approach

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2015A distributionally robust perspective on uncertainty quantification and chance constrained programming 2017Data-driven distributionally robust optimization using the Wasserstein metric: performance guarantees and tractable reformulations 2012On portfolio optimization: Imposing the right constraints 2022Robust Satisficing 2012Robust Portfolio Choice with Ambiguity and Learning About Return Predictability

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Year2011

Typearticle

Published2011-08-05

VenueJournal of Banking & Finance

ISSN-L0378-4266

Languageen

Citations221

Files0 public / 0

ShelfRisk and Portfolio Optimization

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doi10.1016/j.jbankfin.2011.07.018

openalex_workW2052889677

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2020Diversification and portfolio theory: a review

2017Socially responsible investment portfolios: Does the optimization process matter?

2020Data-driven distributionally robust chance-constrained optimization with Wasserstein metric