Portfolio Selection with Uncertain Exit Time: A Robust CVaR Approach

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...

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Bibliographic Details
Main Authors: Dashan HUANG, ZHU, Shushang, FABOZZI, Frank, FUKUSHIMA, Masao
Format: text
Language:English
Published: Institutional Knowledge at Singapore Management University 2008
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Online Access:https://ink.library.smu.edu.sg/lkcsb_research/4779
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Institution: Singapore Management University
Language: English

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