Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy
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, w...
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| المؤلفون الرئيسيون: | , , |
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| التنسيق: | text |
| اللغة: | English |
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Institutional Knowledge at Singapore Management University
2007
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| الموضوعات: | |
| الوصول للمادة أونلاين: | https://ink.library.smu.edu.sg/lkcsb_research/4778 |
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| المؤسسة: | Singapore Management University |
| اللغة: | English |
| الملخص: | 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. |
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