Robust asset allocation with benchmarked objectives

DOI10.1111/J.1467-9965.2010.00448.XMaRDI QIDQ3100750zbMATH OpenOpenAlexFDO

Authors Andrew Lim, J. George Shanthikumar, Thaisiri Watewai

Publication date 21 November 2011

Published in Mathematical Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1111/j.1467-9965.2010.00448.x

zbMATH Keywords

ambiquityBayesian modelsconvex dualitymodel uncertaintyrelative performance measurerelative regretrobust controlrobust portfolio selection

Mathematics Subject Classification ID

Utility theory (91B16) Stochastic models in economics (91B70) Portfolio theory (91G10) Financial applications of other theories (91G80)

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Cites work

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Cited in

(13)

• Robust tracking error portfolio selection with worst-case downside risk measures
• Robust trade-off portfolio selection
• Robust asset allocation
• Risk and potential: an asset allocation framework with applications to robo-advising
• Optimal asset allocation: risk and information uncertainty
• Ambiguity in risk preferences in robust stochastic optimization
• Relative robust portfolio optimization with benchmark regret
• Robust analysis in stochastic simulation: computation and performance guarantees
• The robust Merton problem of an ambiguity averse investor
• OPTIMAL PORTFOLIO CHOICE WITH CRASH RISK AND MODEL AMBIGUITY
• Robust stock and bond allocation with end-of-horizon effects
• The attribution matrix and the joint use of finite change sensitivity index and residual income for value-based performance measurement
• A benchmarking approach to optimal asset allocation for insurers and pension funds

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