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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Main Authors:	Dashan HUANG, FABOZZI, Frank, FUKUSHIMA, Masao
Format:	text
Language:	English
Published:	Institutional Knowledge at Singapore Management University 2007
Subjects:	Semi-definite programming; Worst-case VaR; Robust portfolio selection; Uncertain exit time Finance and Financial Management Portfolio and Security Analysis
Online Access:	https://ink.library.smu.edu.sg/lkcsb_research/4778
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Institution:	Singapore Management University
Language:	English

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spelling	sg-smu-ink.lkcsb_research-57772016-01-08T10:00:06Z Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy Dashan HUANG, FABOZZI, Frank FUKUSHIMA, Masao 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. 2007-09-01T07:00:00Z text https://ink.library.smu.edu.sg/lkcsb_research/4778 info:doi/10.1016/j.orl.2006.10.005 Research Collection Lee Kong Chian School Of Business eng Institutional Knowledge at Singapore Management University Semi-definite programming; Worst-case VaR; Robust portfolio selection; Uncertain exit time Finance and Financial Management Portfolio and Security Analysis
institution	Singapore Management University
building	SMU Libraries
continent	Asia
country	Singapore Singapore
content_provider	SMU Libraries
collection	InK@SMU
language	English
topic	Semi-definite programming; Worst-case VaR; Robust portfolio selection; Uncertain exit time Finance and Financial Management Portfolio and Security Analysis
spellingShingle	Semi-definite programming; Worst-case VaR; Robust portfolio selection; Uncertain exit time Finance and Financial Management Portfolio and Security Analysis Dashan HUANG, FABOZZI, Frank FUKUSHIMA, Masao Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy
description	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.
format	text
author	Dashan HUANG, FABOZZI, Frank FUKUSHIMA, Masao
author_facet	Dashan HUANG, FABOZZI, Frank FUKUSHIMA, Masao
author_sort	Dashan HUANG,
title	Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy
title_short	Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy
title_full	Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy
title_fullStr	Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy
title_full_unstemmed	Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy
title_sort	robust portfolio selection with uncertain exit time using worst-case var strategy
publisher	Institutional Knowledge at Singapore Management University
publishDate	2007
url	https://ink.library.smu.edu.sg/lkcsb_research/4778
_version_	1770572690545967104

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

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