منابع مشابه
Robust Asset Allocation
This article addresses the problem of finding an optimal allocation of funds among different asset classes in a robust manner when the estimates of the structure of returns are unreliable. Instead of point estimates used in classical mean-variance optimization, moments of returns are described using uncertainty sets that contain all, or most, of their possible realizations. The approach present...
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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...
متن کاملApplication of Robust Statistics to Asset Allocation Models
Many strategies for asset allocation involve the computation of expected returns and the covariance or correlation matrix of financial instruments returns. How much of each instrument to own is determined by an attempt to minimize risk (the variance of linear combinations of investments in these financial assets) subject to various constraints such as a given level of return, concentration limi...
متن کاملRobust Asset Allocation for Long-Term Target-Based Investing
4 This paper explores dynamic mean-variance asset allocation over long horizons. This is 5 equivalent to target-based investing with a quadratic loss penalty for deviations from the target 6 level of terminal wealth. We provide a number of illustrative examples in a setting with a 7 risky stock index and a risk-free asset. Our underlying model is very simple: the value of the 8 risky index is a...
متن کاملRobust Investment Management with Uncertainty in Fund Managers' Asset Allocation
We consider a problem where an investment manager must allocate an available budget among a set of fund managers, whose asset class allocations are not precisely known to the investment manager. In this paper, we propose a robust framework that takes into account the uncertainty stemming from the fund managers’ allocation, as well as the more traditional uncertainty due to uncertain asset class...
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ژورنال
عنوان ژورنال: Annals of Operations Research
سال: 2004
ISSN: 0254-5330
DOI: 10.1023/b:anor.0000045281.41041.ed