Ambiguous Risk Measures and Optimal Robust Portfolios
نویسندگان
چکیده
منابع مشابه
Ambiguous Risk Measures and Optimal Robust Portfolios
This paper deals with a problem of guaranteed (robust) financial decision-making under model uncertainty. An efficient method is proposed for determining optimal robust portfolios of risky financial instruments in the presence of ambiguity (uncertainty) on the probabilistic model of the returns. Specifically, it is assumed that a nominal discrete return distribution is given, while the true dis...
متن کاملRobust Growth-Optimal Portfolios
The growth-optimal portfolio is designed to have maximum expected log-return over the next rebalancing period. Thus, it can be computed with relative ease by solving a static optimization problem. The growthoptimal portfolio has sparked fascination among finance professionals and researchers because it can be shown to outperform any other portfolio with probability 1 in the long run. In the sho...
متن کاملOptimal risk minimization of Australian energy and mining portfolios of stocks under multiple measures of risk
Australia’s 2000’s decade saw the sharpest rise in mining investments arising from developing Asian emerging economies’ high demand for commodities like coal, iron ore, nickel, oil and gas which drove up prices to a historic level (Connolly & Orsmond, 2011). As of December 2012, 39 % and 9 % of the Australian Securities Exchange’s stocks were of the mining (coal and uranium stocks are included ...
متن کاملSpectral Risk Measures for Credit Portfolios
In this article, we experiment with several different risk measures such as standard deviation, value-at-risk, expected shortfall and power-law spectral measures. We consider several families of testportfolios, one with a typical market risk profit-and-loss profile, and the others containing defaultable bonds of various credit ratings and various degree of diversification. We find that the risk...
متن کاملOptimal portfolios with bounded Capital-at-Risk
We consider some continuous-time Markowitz type portfolio problems that consist of maximizing expected terminal wealth under the constraint of an upper bound for the Capital-at-Risk. In a Black-Scholes setting we obtain closed form explicit solutions and compare their form and implications to those of the classical continuous-time mean-variance problem. We also consider more general price proce...
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: SIAM Journal on Optimization
سال: 2007
ISSN: 1052-6234,1095-7189
DOI: 10.1137/060654803