In this paper we consider the worst-case model risk approach described in Glasserman and Xu (2014). Portfolio selection with model risk can be a challenging operational research problem. In particular, it presents an additional optimisation compared to the classical one. We find the analytical solution for the optimal mean-variance portfolio selection in the worst-case scenario approach. In the minimum-variance case, we prove that the analytical solution is significantly different from the one found numerically by Glasserman and Xu (2014) and that model risk reduces to an estimation risk. A detailed numerical example is provided.
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