Robust worst-case optimal investment

DOI10.1007/S00291-014-0370-YMaRDI QIDQ2516638zbMATH OpenOpenAlexFDO

Authors Sascha Desmettre, Ralf Korn, P. Ruckdeschel, Frank Thomas Seifried

Publication date 3 August 2015

Published in OR Spectrum (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00291-014-0370-y

zbMATH Keywords

efficiencyrobust optimizationworst casemin-max approachknightian uncertaintycrash scenario

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Minimax procedures in statistical decision theory (62C20) Portfolio theory (91G10) Optimal stochastic control (93E20)

Recommendations

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• Optimality and robustness of a minimax portfolio
• Optimal investment with a value-at-risk constraint

Cites work

• scientific article; zbMATH DE number 3954047 (Why is no real title available?)
• Comparative and qualitative robustness for law-invariant risk measures
• Continuous-time stochastic control and optimization with financial applications
• Distributionally robust optimization and its tractable approximations
• Distributionally robust optimization under moment uncertainty with application to data-driven problems
• MODEL UNCERTAINTY AND ITS IMPACT ON THE PRICING OF DERIVATIVE INSTRUMENTS
• Maxmin expected utility with non-unique prior
• OPTIMAL PORTFOLIOS UNDER THE THREAT OF A CRASH
• On Worst-Case Portfolio Optimization
• Optimal Investments for Robust Utility Functionals in Complete Market Models
• Optimal investment for worst-case crash scenarios: a martingale approach
• Optimum consumption and portfolio rules in a continuous-time model
• Qualitative robustness of statistical functionals under strong mixing
• Rejection of Outliers
• Robust Preferences and Robust Portfolio Choice
• Robust asymptotic statistics
• Robust optimization - a comprehensive survey
• Robustness and sensitivity analysis of risk measurement procedures
• The cost of not knowing the radius
• Theory and applications of robust optimization
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Worst-case scenario portfolio optimization: a new stochastic control approach

Cited in

(12)

• Optimal investment for worst-case crash scenarios: a martingale approach
• Equilibrium investment with random risk aversion
• Lifetime consumption and investment for worst-case crash scenarios
• Worst-case optimal investment with a random number of crashes
• Financial optimization: optimization paradigms and financial planning under uncertainty
• Best-case scenario robust portfolio: evidence from China stock market
• Trajectorial market models: arbitrage and pricing intervals
• Robust portfolio optimization: a categorized bibliographic review
• Worst-case portfolio optimization in discrete time
• scientific article; zbMATH DE number 2247654 (Why is no real title available?)
• Worst-case scenario investment for insurers
• OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY

Describes a project that uses

Uses Software

• ROptEst
• ROME
• R

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