Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
1142998 | Operations Research Letters | 2007 | 9 Pages |
Abstract
To deal with the robust portfolio selection problem where only partial information on the exit time distribution and on the conditional distribution of portfolio return is available, we extend the worst-case VaR approach and formulate the corresponding problems as semi-definite programs. Moreover, we present some numerical results with real market data.
Related Topics
Physical Sciences and Engineering
Mathematics
Discrete Mathematics and Combinatorics
Authors
Dashan Huang, Frank J. Fabozzi, Masao Fukushima,