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...

全面介紹

Saved in:
書目詳細資料
Main Authors: Dashan HUANG, FABOZZI, Frank, FUKUSHIMA, Masao
格式: text
語言:English
出版: Institutional Knowledge at Singapore Management University 2007
主題:
在線閱讀:https://ink.library.smu.edu.sg/lkcsb_research/4778
標簽: 添加標簽
沒有標簽, 成為第一個標記此記錄!