Portfolio Selection under Distributional Uncertainty: A Relative Robust CVaR in Portfolio Management

• Main Authors: Dashan HUANG, ZHU, Shushang, FABOZZI, Frank, FUKUSHIMA, Masao
• 格式: text
• 語言: English
• 出版: Institutional Knowledge at Singapore Management University 2010
• 主題: Conditional value-at-risk; Worst-case conditional value-at-risk; Relative robust conditional value-at-risk; Portfolio selection problem; Linear programming; Finance and Financial Management; Portfolio and Security Analysis
• 在線閱讀: https://ink.library.smu.edu.sg/lkcsb_research/4782; https://ink.library.smu.edu.sg/context/lkcsb_research/article/5781/viewcontent/HuangD_jejor2009_PortfolioSelectionDistUncertainity_PP.pdf
• 機構: Singapore Management University

Robust optimization, one of the most popular topics in the field of optimization and control since the late 1990s, deals with an optimization problem involving uncertain parameters. In this paper, we consider the relative robust conditional value-at-risk portfolio selection problem where the underly...