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

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

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...

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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 2010
Subjects:
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
Online Access: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
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Institution: Singapore Management University
Language: English

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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

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