Coherent Worst-Case Value-at-Risk with Applications to Robust Portfolio Optimization
نویسندگان
چکیده
منابع مشابه
Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
Classical formulations of the portfolio optimization problem, such as mean-variance or Value-at-Risk (VaR) approaches, can result in a portfolio extremely sensitive to errors in the data, such as mean and covariance matrix of the returns. In this paper we propose a way to alleviate this problem in a tractable manner. We assume that the distribution of returns is partially known, in the sense th...
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In the portfolio optimization, the goal is to distribute the fixed capital on a set ofinvestment opportunities to maximize return while managing risk. Risk and return are quantiti es that are used as input parameters for the optimal allocation of the capital in the suggested models. But these quantities are not known at the time of the ...
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ژورنال
عنوان ژورنال: Applied Mathematics Research eXpress
سال: 2012
ISSN: 1687-1200,1687-1197
DOI: 10.1093/amrx/abs018