Dynamic mean-variance portfolio analysis under model risk

DOI10.21314/JCF.2009.202zbMATH Open1181.91297OpenAlexW1935244738MaRDI QIDQ3404358FDOQ3404358

Authors: Daniel Kuhn, Panos Parpas, Berç Rustem, Raquel J. Fonseca 

Publication date: 8 February 2010

Published in: The Journal of Computational Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.21314/jcf.2009.202

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zbMATH Keywords

approximationrobust portfolio optimizationLagrangian reformulation

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Dynamic programming (90C39) Portfolio theory (91G10) Minimax problems in mathematical programming (90C47)

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• Robust asset allocation for long-term target-based investing
• Some new results on value ranges of risks for mean-variance portfolio models

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