On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets

摘要: Effect of the availability a riskless asset on performance naive diversification strategies has been controversial issue. Defining an investment environment containing both ambiguous and unambiguous assets, we investigate over assets. For returns follow multivariate distribution involving distributional uncertainty. A nominal estimate is assumed to exist, actual considered be within ball around this distribution. Complete information for return As radius uncertainty increases, optimal choice assets shown converge uniform portfolio with equal weights each asset. The tendency investor avoid in response increasing proven, shift towards With application $$\textit{CVaR}$$ risk measure, derive rules optimally combining