Robust portfolio selection with uncertain exit time using worst-case VaR strategy

DOI10.1016/J.ORL.2006.10.005MaRDI QIDQ2465952zbMATH OpenOpenAlexFDO

Authors Dashan Huang, Frank J. Fabozzi, Masao Fukushima

Publication date 11 January 2008

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.orl.2006.10.005

zbMATH Keywords

semi-definite programmingrobust portfolio selectionuncertain exit timeworst-case var

Mathematics Subject Classification ID

Portfolio theory (91G10) Semidefinite programming (90C22)

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Cites work

• On optimal portfolio choice under stochastic interest rates
• Optimal Inequalities in Probability Theory: A Convex Optimization Approach
• Optimal Investment and Consumption Strategies Under Risk, an Uncertain Lifetime, and Insurance
• Optimal investment decisions when time-horizon is uncertain
• Optimum consumption and portfolio rules in a continuous-time model
• Portfolio selection with uncertain exit time: a robust CVaR approach
• Robust Portfolio Selection Problems
• Robust portfolio selection using linear-matrix inequalities
• Semidefinite Programming
• Semidefinite optimization
• Utility Maximization with Discretionary Stopping
• Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach
• Worst-case conditional value-at-risk with application to robust portfolio management

Cited in

(13)

• Robust portfolio optimization via solution to the Hamilton-Jacobi-Bellman equation
• The effect of exit strategy on optimal portfolio selection with birandom returns
• Worst-case distortion risk measure with application to robust portfolio selection
• Robust \(\nu \)-support vector machine based on worst-case conditional value-at-risk minimization
• Portfolio selection under distributional uncertainty: a relative robust CVaR approach
• Portfolio selection with uncertain exit time: a robust CVaR approach
• Time consistent multi-period worst-case risk measure in robust portfolio selection
• Recent advances in robust optimization: an overview
• Robust portfolio optimization: a categorized bibliographic review
• Worst-case conditional value-at-risk with application to robust portfolio management
• SDP reformulation for robust optimization problems based on nonconvex QP duality
• Recent developments in robust portfolios with a worst-case approach
• A closed-form solution for robust portfolio selection with worst-case CVaR risk measure

Describes a project that uses

Uses Software

• SeDuMi

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