Portfolio Selection with Uncertain Exit Time: A Robust CVaR Approach

• Main Authors: Dashan HUANG, ZHU, Shushang, FABOZZI, Frank, FUKUSHIMA, Masao
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2008
• Subjects: Robust CVaR; Robust portfolio selection; Uncertain exit time; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/4779
• Institution: Singapore Management University

In this paper we explore the portfolio selection problem involving an uncertain time of eventual exit. To deal with this uncertainty, the worst-case CVaR methodology is adopted in the case where no or only partial information on the exit time is available, and the corresponding problems are integrat...