مدیریت پرتفوی تحت عدم قطعیت معرفتی با استفاده از نظریه سلطه و اطلاعات شکاف تصادفی

To find the best portfolio in this situation, we first generate a set of optimal portfolios. This set is populated according to a standard mean-risk approach. Then we search the set using stochastic dominance (SSD) and Information-Gap Theory to identify the preferred one. This approach permits analysis of the problem even under severe uncertainty, a situation that we address because it occurs often, yet needs new advances to solve. SSD is attracting attention in the portfolio analysis community because any rational, risk-averse investor will prefer portfolio y1 to portfolio y2 if y1 has SSD over y2. The player’s utility function is not relevant to this preference as long as it is risk averse, which most investors are.