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

• 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
• Institution: Singapore Management University

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...