Robust Worst-case Optimal Investment
نویسندگان
چکیده
Based on a robustness concept adapted from mathematical statistics, we investigate robust optimal investment strategies for worst-case crash scenarios when the maximum crash height is not known a priori. We specify an efficiency criterion in terms of the certainty equivalents of optimal terminal wealth and explicitly solve the investor’s portfolio problem for crra risk preferences. We also study the behavior of the minimax crash height and the efficiency of the associated strategies in the limiting case of infinitely many crashes.
منابع مشابه
Inquire Europe Research Proposal
After more than half a century mean variance analysis still remains the primary conceptual tool for understanding the trade-off between risk and return and for the definition of optimal investment portfolios. Despite its theoretical appeal practical applications have always experienced major difficulties. Optimal portfolio weights appear extremely sensitive to minor changes in expected returns ...
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