ROBUST ASSET ALLOCATION WITH BENCHMARKED OBJECTIVES
From MaRDI portal
Publication:3100750
DOI10.1111/j.1467-9965.2010.00448.xzbMath1239.91151MaRDI QIDQ3100750
J. George Shanthikumar, Andrew E. B. Lim, Thaisiri Watewai
Publication date: 21 November 2011
Published in: Mathematical Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1111/j.1467-9965.2010.00448.x
robust control; convex duality; model uncertainty; Bayesian models; robust portfolio selection; relative regret; ambiquity; relative performance measure
91B70: Stochastic models in economics
91B16: Utility theory
91G80: Financial applications of other theories
91G10: Portfolio theory
Related Items
Robust Analysis in Stochastic Simulation: Computation and Performance Guarantees, OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY, The attribution matrix and the joint use of finite change sensitivity index and residual income for value-based performance measurement, Ambiguity in risk preferences in robust stochastic optimization, The robust Merton problem of an ambiguity averse investor, A benchmarking approach to optimal asset allocation for insurers and pension funds, Robust tracking error portfolio selection with worst-case downside risk measures, Robust trade-off portfolio selection
Cites Work
- Unnamed Item
- Unnamed Item
- Axioms for minimax regret choice correspondences
- An analog of the minimax theorem for vector payoffs
- Recursive smooth ambiguity preferences
- Maxmin expected utility with non-unique prior
- Recursive multiple-priors.
- Robust solutions of linear programming problems contaminated with uncertain data
- Robust asset allocation
- Optimal investments for risk- and ambiguity-averse preferences: a duality approach
- Regret aversion and opportunity dependence
- Robust utility maximization for complete and incomplete markets
- Robust Convex Optimization
- State-space solutions to standard H/sub 2/ and H/sub infinity / control problems
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Intertemporal Asset Pricing under Knightian Uncertainty
- Robust Solutions to Least-Squares Problems with Uncertain Data
- Robust Control of Markov Decision Processes with Uncertain Transition Matrices
- A Smooth Model of Decision Making under Ambiguity
- Ambiguity, Risk, and Asset Returns in Continuous Time
- Convex Programming and Duality in Normed Space
- Robust Portfolio Selection Problems
- Optimal Investments for Robust Utility Functionals in Complete Market Models
- The Theory of Statistical Decision