Portfolio selection under distributional uncertainty: A relative robust CVaR approach
نویسندگان
چکیده
منابع مشابه
Portfolio selection under distributional uncertainty: A relative robust CVaR approach
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 underlying probability distribution of portfolio return is only known to belong to a certain set. Our ap...
متن کاملPortfolio 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 integrated into linear programs which can be efficiently solved. Moreover, we present a method for specif...
متن کاملRobust CVaR Approach to Portfolio Selection with Uncertain Exit Time
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 integrated into linear programs which can be efficiently solved. Moreover, we present a method for specif...
متن کاملGrowth-Optimal Portfolio Selection under CVaR Constraints
Online portfolio selection research has so far focused mainly on minimizing regret defined in terms of wealth growth. Practical financial decision making, however, is deeply concerned with both wealth and risk. We consider online learning of portfolios of stocks whose prices are governed by arbitrary (unknown) stationary and ergodic processes, where the goal is to maximize wealth while keeping ...
متن کاملCVaR Robust Mean - CVaR Portfolio Optimization
One of the most important problems faced by every investor is asset allocation. An investor during making investment decisions has to search for equilibrium between risk and returns. Risk and return are uncertain parameters in the suggested portfolio optimization models and should be estimated to solve theproblem. The estimation might lead to large error in the final decision. One of t...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: European Journal of Operational Research
سال: 2010
ISSN: 0377-2217
DOI: 10.1016/j.ejor.2009.07.010