A VaR Black–Litterman model for the construction of absolute return fund-of-funds

DOI10.1080/14697680903121018zbMath1258.91200OpenAlexW2032278446MaRDI QIDQ4911225

Miguel A. Lejeune

Publication date: 14 March 2013

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/14697680903121018

zbMATH Keywords

portfolio optimizationprobabilistic programmingtrading constraintsBlack-Littermanabsolute returnfunds-of-funds

Mathematics Subject Classification ID

Statistical methods; risk measures (91G70) Stochastic programming (90C15) Portfolio theory (91G10)

Related Items

Distributionally robust portfolio optimization with linearized STARR performance measure, Risk-return trade-off with the scenario approach in practice: a case study in portfolio selection, Complex portfolio selection via convex mixed‐integer quadratic programming: a survey, A bi‐level programming framework for identifying optimal parameters in portfolio selection, Stochastic portfolio optimization with proportional transaction costs: convex reformulations and computational experiments, A smooth non-parametric estimation framework for safety-first portfolio optimization, Threshold Boolean form for joint probabilistic constraints with random technology matrix, Warm-start heuristic for stochastic portfolio optimization with fixed and proportional transaction costs, Game Theoretical Approach for Reliable Enhanced Indexation

Uses Software

• AMPL
• RiskMetrics

Cites Work

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• Robust Portfolio Selection Problems
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• Robust portfolio selection using linear-matrix inequalities