Robust portfolio optimization with covariates

• المؤلف الرئيسي: Heng, Darren Kai Hong
• مؤلفون آخرون: Yan Zhenzhen
• التنسيق: Final Year Project
• اللغة: English
• منشور في: Nanyang Technological University 2022
• الموضوعات: Science::Mathematics::Applied mathematics::Optimization
• الوصول للمادة أونلاين: https://hdl.handle.net/10356/156906

In this project, we propose ARIMA regression as a methodology for the inclusion of covariate information into a robust CVaR minimization portfolio as a method to improve the performance of the portfolio optimization model. This methodology is compared with a robust CVaR minimization portfolio and an...