Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy

by Dashan HUANG, FABOZZI, Frank, FUKUSHIMA, Masao
Published 2007

Robust Portfolios: Contributions from Operations Research and Finance

by FABOZZI, Frank, Dashan HUANG, ZHOU, Guofu
Published 2010

Portfolio Revision under Mean-Variance and Mean-CVaR with Transaction Costs

by CHEN, Andrew, FABOZZI, Frank, Dashan HUANG
Published 2012

An Optimal Design of Collateralized Mortgage Obligation with PAC-Companion Structure using Dynamic Cash Reserve

by Dashan HUANG, FABOZZI, Frank, KAI, Yoshitaka, FUKUSHIMA, Masao
Published 2007

Portfolio Selection with Uncertain Exit Time: A Robust CVaR Approach

by Dashan HUANG, ZHU, Shushang, FABOZZI, Frank, FUKUSHIMA, Masao
Published 2008

CAViaR-based Forecast for Oil Price Risk

by Dashan HUANG, YU, Baimin, FABOZZI, Frank, FUKUSHIMA, Masao
Published 2009

Portfolio Selection under Distributional Uncertainty: A Relative Robust CVaR in Portfolio Management

by Dashan HUANG, ZHU, Shushang, FABOZZI, Frank, FUKUSHIMA, Masao
Published 2010

Optimal Corporate Strategy under Uncertainty

by CHEN, Andrew H., FABOZZI, Frank J., Dashan HUANG
Published 2013

What difference do the new factor models make in portfolio allocation?

by Fabozzi, Frank J., HUANG, Dashan, Jiang, Fuwei, WANG, Jiexun
Published 2024

Index-Exciting CAViaR: A New Empirical Time-Varying Risk Model

by Dashan HUANG, YU, Baimin, LU, Zudi, FOCARDI, Sergio, FABOZZI, Frank, FUKUSHIMA, Masao
Published 2010