Portfolio selection with uncertain exit time: a robust CVaR approach
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Publication:844601
DOI10.1016/J.JEDC.2007.03.003zbMATH Open1181.91292OpenAlexW2105815023MaRDI QIDQ844601FDOQ844601
Authors: Dashan Huang, Shushang Zhu, Frank J. Fabozzi, Masao Fukushima 
Publication date: 19 January 2010
Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.jedc.2007.03.003
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Monte Carlo methods (65C05) Linear programming (90C05) Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)
Cites Work
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- Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
- Robust Portfolio Selection Problems
- Robust portfolio selection using linear-matrix inequalities
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- Linear programming: foundations and extensions
- Utility Maximization with Discretionary Stopping
- Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
- Dynamic asset pricing theory with uncertain time-horizon
Cited In (33)
- Portfolio management with robustness in both prediction and decision: a mixture model based learning approach
- Robust portfolio selection under downside risk measures
- Multi-period mean-variance portfolio selection with uncertain time horizon when returns are serially correlated
- Multi-stage stochastic model in portfolio selection problem
- Robust estimation of efficient mean-variance frontiers
- Robust asset allocation with conditional value at risk using the forward search
- The effect of exit strategy on optimal portfolio selection with birandom returns
- Multiperiod optimal investment-consumption strategies with mortality risk and environment uncertainty
- Portfolio optimization with uncertain exit time in infinite-time horizon
- Robust portfolio selection with uncertain exit time using worst-case VaR strategy
- Optimal investment decisions when time-horizon is uncertain
- Discrete-time mean-CVaR portfolio selection and time-consistency induced term structure of the CVaR
- Bayesian filtering for multi-period mean-variance portfolio selection
- Robust portfolio selection involving options under a ``marginal+joint ellipsoidal uncertainty set
- Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
- A robust-CVaR optimization approach with application to breast cancer therapy
- Robust tracking error portfolio selection with worst-case downside risk measures
- Multi-loss WCVaR risk decision optimization based on weight for centralized supply problem of direct chain enterprises
- Modeling and solving portfolio selection problems based on PVaR
- Portfolio selection under distributional uncertainty: a relative robust CVaR approach
- Robust portfolios: contributions from operations research and finance
- Robust portfolio optimization: a categorized bibliographic review
- Title not available (Why is that?)
- SDP reformulation for robust optimization problems based on nonconvex QP duality
- Continuous-time portfolio optimization for absolute return funds
- Robust portfolio optimization for banking foundations: a CVaR approach for asset allocation with mandatory constraints
- Robust and reliable portfolio optimization formulation of a chance constrained problem
- Buy-and-hold mean-variance portfolios with a random exit strategy
- Recent developments in robust portfolios with a worst-case approach
- PORTFOLIO CHOICE WITH TIME HORIZON RISK
- Robust portfolio asset allocation and risk measures
- A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
- Robust optimization for the newsvendor problem with discrete demand
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