Risk Allocation in Capital Markets: Portfolio Insurance, Tactical Asset Allocation and Collar Strategies
نویسندگان
چکیده
منابع مشابه
Robust portfolio asset allocation and risk measures
Many financial optimization problems involve future values of security prices, interest rates and exchange rates which are not known in advance, but can only be forecast or estimated. Several methodologies have therefore been proposed to handle the uncertainty in financial optimization problems. One such methodology is Robust Statistics, which addresses the problem of making estimates of the un...
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ژورنال
عنوان ژورنال: ASTIN Bulletin
سال: 1994
ISSN: 0515-0361,1783-1350
DOI: 10.2143/ast.24.1.2005077