Is being ``robust beneficial? A perspective from the Indian market
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Publication:2166065
DOI10.1007/S10690-021-09331-XzbMATH Open1495.91105arXiv1908.05002OpenAlexW3147088136MaRDI QIDQ2166065FDOQ2166065
Authors: Mohammed Bilal Girach, Shashank Oberoi, Siddhartha P. Chakrabarty 
Publication date: 23 August 2022
Published in: Asia-Pacific Financial Markets (Search for Journal in Brave)
Abstract: The problem of data uncertainty has motivated the incorporation of robust optimization in various arenas, beyond the Markowitz portfolio optimization. This work presents the extension of the robust optimization framework for the minimization of downside risk measures, such as Value-at-Risk (VaR) and Conditional Value-at-Risk (CVaR). We perform an empirical study of VaR and CVaR frameworks, with respect to their robust counterparts, namely, Worst-Case VaR and Worst-Case CVaR, using the market data as well as the simulated data. After discussing the practical usefulness of the robust optimization approaches from various standpoints, we infer various takeaways. The robust models in the case of VaR and CVaR minimization exhibit superior performance with respect to their base versions in the cases involving higher number of stocks and simulated setup respectively.
Full work available at URL: https://arxiv.org/abs/1908.05002
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Cites Work
- Coherent measures of risk
- Optimal Inequalities in Probability Theory: A Convex Optimization Approach
- Some remarks on the value-at-risk and the conditional value-at-risk
- Worst-case conditional value-at-risk with application to robust portfolio management
- Portfolio optimization by minimizing conditional value-at-risk via nondifferentiable optimization
- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Computing efficient frontiers using estimated parameters
- Robust asset allocation
- Recent developments in robust portfolios with a worst-case approach
- Robust portfolio selection based on a joint ellipsoidal uncertainty set
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