Portfolio selection with parameter uncertainty under α maxmin mean-variance criterion

We consider a mean-variance portfolio selection problem with uncertain model parameters. We formulate the mean-variance problem under the alpha maxmin criterion, in which the investor has mixed ambiguity aversion and ambiguity seeking attitudes and solves a convex combination of max-min and max-max optimization problems. By the Lagrangian method, we obtain the efficient portfolio and quasi-efficient frontier in closed form. We provide comparative statics of the quasi-efficient frontier to various parameters. (c) 2020 Elsevier B.V. All rights reserved.