Good deals and benchmarks in robust portfolio selection

DOI10.1016/J.EJOR.2015.09.023zbMath1346.91198OpenAlexW1831995381MaRDI QIDQ322536

Beatriz Balbás, Raquel Balbás, Alejandro Balbas

Publication date: 7 October 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2015.09.023

zbMATH Keywords

ambiguitybenchmark and CAPMcoherent risk under ambiguitygood dealrobust portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10)

Related Items (16)

Distributionally Robust Goal-Reaching Optimization in the Presence of Background Risk ⋮ VaR as the CVaR sensitivity: applications in risk optimization ⋮ Pareto efficient buy and hold investment strategies under order book linked constraints ⋮ Good deal indices in asset pricing: actuarial and financial implications ⋮ Individual antecedents of real options appraisal: the role of national culture and ambiguity ⋮ On the price of risk in a mean-risk optimization model ⋮ Differential equations connecting VaR and CVaR ⋮ Optimal investment under ambiguous technology shocks ⋮ Omega ratio optimization with actuarial and financial applications ⋮ A non-probabilistic methodology for reliable sustainability planning: an application to the Iraqi national irrigation system ⋮ Optimal dynamic reinsurance policies under a generalized Denneberg's absolute deviation principle ⋮ Exhibiting abnormal returns under a risk averse strategy ⋮ Buy and Hold Golden Strategies in Financial Markets with Frictions and Depth Constraints ⋮ V@R representation theorems in ambiguous frameworks ⋮ Golden options in financial mathematics ⋮ Are the least successful traders those most likely to exit the market? A survival analysis contribution to the efficient market debate

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• Global minimum variance portfolio optimisation under some model risk: a robust regression-based approach
• Sensitivity of Pareto solutions in multiobjective optimization
• Maxmin expected utility with non-unique prior
• Martingales and arbitrage in multiperiod securities markets
• From stochastic dominance to mean-risk models: Semideviations as risk measures
• Representation results for law invariant time consistent functions
• Optimal reinsurance under risk and uncertainty
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach
• Generalized deviations in risk analysis
• Capital asset pricing model (CAPM) with drawdown measure
• Restricted risk measures and robust optimization
• Robust solutions to multi-objective linear programs with uncertain data
• Coherent Measures of Risk
• A Generalized Measure of Riskiness
• Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
• Satisficing Measures for Analysis of Risky Positions
• Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
• Optimal Stopping With Multiple Priors
• Dual Stochastic Dominance and Related Mean-Risk Models
• Good deals in markets with friction
• On Information and Sufficiency
• Robust portfolio asset allocation and risk measures
• Projection pricing

This page was built for publication: Good deals and benchmarks in robust portfolio selection