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http://hdl.handle.net/2445/117525
Title: | Finding common ground when experts disagree: robust portfolio decision analysis |
Author: | Baker, Erin Bosetti, Valentina Salo, Ahti |
Keywords: | Gestió de cartera Política energètica Presa de decisions (Estadística) Portfolio management Energy policy Statistical decision |
Issue Date: | 2017 |
Publisher: | Institut d’Economia de Barcelona |
Series/Report no: | [WP E-IEB17/11] |
Abstract: | We address the problem of decision making under “deep uncertainty,” introducing an approach we call Robust Portfolio Decision Analysis. We introduce the idea of Belief Dominance as a prescriptive operationalization of a concept that has appeared in the literature under a number of names. We use this concept to derive a set of non-dominated portfolios; and then identify robust individual alternatives from the non-dominated portfolios. The Belief Dominance concept allows us to synthesize multiple conflicting sources of information by uncovering the range of alternatives that are intelligent responses to the range of beliefs. This goes beyond solutions that are optimal for any specific set of beliefs to uncover defensible solutions that may not otherwise be revealed. We illustrate our approach using a problem in the climate change and energy policy context: choosing among clean energy technology R&D portfolios. We demonstrate how the Belief Dominance concept can uncover portfolios that would otherwise remain hidden and identify robust individual investments. |
Note: | Reproducció del document publicat a: http://www.ieb.ub.edu/2012022157/ieb/ultimes-publicacions |
It is part of: | IEB Working Paper 2017/11 |
URI: | http://hdl.handle.net/2445/117525 |
Appears in Collections: | IEB (Institut d’Economia de Barcelona) – Working Papers |
Files in This Item:
File | Description | Size | Format | |
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IEB17-11_Baker.pdf | 1.35 MB | Adobe PDF | View/Open |
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