摘要翻译：
由于投资者的决策是在有限的信息（没有历史回报数据）和极其有限的时间范围内做出的，因此在选择不同投资时分配资本的尝试经常受到阻碍。然而，在某些情况下，具有一定经验水平的理性投资者能够通过对投资成功概率的相对评估，对投资备选方案进行通常的排序。然而，要应用传统的投资组合优化模型，分析师必须使用历史（或模拟/预期）回报数据作为计算的基础。本文提出了一个替代投资组合优化框架，该框架能够处理这类信息（由投资方案的序数排序给出），并基于Cobb-Douglas函数计算最优资本配置，我们称之为排序加权投资组合(SWP)。在风险中性投资者的情况下，我们证明了这种投资组合优化模型的结果通常优于不同投资方案的（直观的）等权投资组合(EWP)所产生的输出，这是当无法加入额外数据（方案的序号排序）时的优化结果。为了进一步扩展这一工作，我们表明我们的模型也可以针对风险厌恶投资者来捕捉相关效应。
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英文标题：
《On Capital Allocation under Information Constraints》
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作者：
Christoph J. B\"orner, Ingo Hoffmann, Fabian Poetter, Tim Schmitz
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最新提交年份：
2020
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分类信息：

一级分类：Economics        经济学
二级分类：General Economics        一般经济学
分类描述：General methodological, applied, and empirical contributions to economics.
对经济学的一般方法、应用和经验贡献。
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一级分类：Quantitative Finance        数量金融学
二级分类：Economics        经济学
分类描述：q-fin.EC is an alias for econ.GN. Economics, including micro and macro economics, international economics, theory of the firm, labor economics, and other economic topics outside finance
q-fin.ec是econ.gn的别名。经济学，包括微观和宏观经济学、国际经济学、企业理论、劳动经济学和其他金融以外的经济专题
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英文摘要：
  Attempts to allocate capital across a selection of different investments are often hampered by the fact that investors' decisions are made under limited information (no historical return data) and during an extremely limited timeframe. Nevertheless, in some cases, rational investors with a certain level of experience are able to ordinally rank investment alternatives through relative assessments of the probabilities that investments will be successful. However, to apply traditional portfolio optimization models, analysts must use historical (or simulated/expected) return data as the basis for their calculations. This paper develops an alternative portfolio optimization framework that is able to handle this kind of information (given by an ordinal ranking of investment alternatives) and to calculate an optimal capital allocation based on a Cobb-Douglas function, which we call the Sorted Weighted Portfolio (SWP). Considering risk-neutral investors, we show that the results of this portfolio optimization model usually outperform the output generated by the (intuitive) Equally Weighted Portfolio (EWP) of different investment alternatives, which is the result of optimization when one is unable to incorporate additional data (the ordinal ranking of the alternatives). To further extend this work, we show that our model can also address risk-averse investors to capture correlation effects.
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PDF链接：
https://arxiv.org/pdf/1906.10624