Abstract
The notion of efficient portfolios is restated employing a novel approach to asset uncertainty, in which an uncertainty set conveys all information on asset returns. Based on the idea that a portfolio is a function mapping the asset returns to the portfolio return, the width of the image of the uncertainty set is used as a risk measure. The statement of the separation theorem is inherited. Furthermore, non-positive Value at Risk with 100% confidence is found in a class of efficient portfolios.
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