模糊情况下1/N投资组合是否最优？

IF 1.8 4区经济学 Q2 ECONOMICS

Economics Letters Pub Date : 2025-09-19 DOI:10.1016/j.econlet.2025.112624

Nan He , Tan Wang

引用次数: 0

摘要

本文提出了一种将模糊性纳入均值-方差分析的新准则，并在不同数据集上检验了1/N组合在模糊性下是否最优。结果表明，朴素投资组合在模糊情况下并不总是最优的，尽管在样本外通常表现良好。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Is 1/N investment portfolio optimal under ambiguity?

This paper proposes a new criterion incorporating ambiguity into mean–variance analysis, and tests whether the 1/N portfolio is optimal under ambiguity across various datasets. Results indicate that the naive portfolio is not always optimal under ambiguity, despite often performing well out-of-sample.

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来源期刊

Economics Letters ECONOMICS-

CiteScore

3.20

自引率

5.00%

发文量

348

审稿时长

30 days

期刊介绍： Many economists today are concerned by the proliferation of journals and the concomitant labyrinth of research to be conquered in order to reach the specific information they require. To combat this tendency, Economics Letters has been conceived and designed outside the realm of the traditional economics journal. As a Letters Journal, it consists of concise communications (letters) that provide a means of rapid and efficient dissemination of new results, models and methods in all fields of economic research.