Name
Abstract | ||
|---|---|---|
To deal with the robust portfolio selection problem where only partial information on the exit time distribution and on the conditional distribution of portfolio return is available, we extend the worst-case VaR approach and formulate the corresponding problems as semi-definite programs. Moreover, we present some numerical results with real market data. |
Year | DOI | Venue |
|---|---|---|
2007 | 10.1016/j.orl.2006.10.005 | Oper. Res. Lett. |
Keywords | Field | DocType |
worst-case var,semideflnite programming,semi-definite program,partial information,robust portfolio selection problem,uncertain exit time,corresponding problem,conditional distribution,exit time distribution,worst-case var approach,robust portfolio selection,numerical result,worst-case var strategy,portfolio return,real market data,correspondence problem,semidefinite programming,semi definite programming | Mathematical optimization,Conditional probability distribution,Project portfolio management,Replicating portfolio,Portfolio,Portfolio optimization,Rate of return on a portfolio,Perfect information,Semidefinite programming,Mathematics | Journal |
Volume | Issue | ISSN |
35 | 5 | Operations Research Letters |
Citations | PageRank | References |
11 | 0.73 | 6 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Da-shan Huang | 1 | 100 | 5.67 |
| Frank J. Fabozzi | 2 | 211 | 20.54 |
| Masao Fukushima | 3 | 2050 | 172.73 |