Similar Search Results

Uncertain Covariance Models and Uncertainty-Penalized Portfolio Optimization

Shah, Anish - 2021

risk assessment, uncertainty-penalized optimization to counter estimation error and improve realized utility, and …

Persistent link: https://www.econbiz.de/10013251623

Portfolio Optimization for VAR, CVaR, Omega and Utility with General Return Distributions : A Monte Carlo Approach for Long-Only and Bounded Short Portfolios with Optional Robustness and a Simplified Approach to Covariance Matching

Shaw, William Thornton - 2011

random weights are also proposed. Extensions to the value functions of prospect theory are possible. The initial method …

Persistent link: https://www.econbiz.de/10013124340

Minimum VaR and minimum CvaR optimal portfolios : the case of singular covariance matrix

Gulliksson, Mårten; Mazur, Stepan; Oleynik, Anna - 2024

This paper examines optimal portfolio selection using quantile-based risk measures such as Valueat-Risk (VaR) and Conditional Value-at-Risk (CVaR). We address the case of a singular covariance matrix of asset returns, which leads to an optimization problem with infinitely many solutions. An...

Persistent link: https://www.econbiz.de/10015084447

A comparison between goal programming and regression analysis for portfolio selection

Tamiz, Mehrdad - In: Multiple criteria decision making : proceedings of the …, (pp. 421-432). 1997

Persistent link: https://www.econbiz.de/10001320327

Covariance estimation for risk-based portfolio optimization : an integrated approach

Butler, Andrew; Kwon, Roy H. - In: Journal of risk 24 (2021) 2, pp. 11-41

Persistent link: https://www.econbiz.de/10013284828

Application of net cash flow at risk in project portfolio selection

Sharifi, Masoud Mohammad; Safari, Mojtaba - In: Project management journal : PMJ 47 (2016) 4, pp. 68-78

Persistent link: https://www.econbiz.de/10011593973

Drawdown measure in portfolio optimization

Chekhlov, Alexei; Uryasev, Stan; Zabarankin, Michael - In: International journal of theoretical and applied finance 8 (2005) 1, pp. 13-58

Persistent link: https://www.econbiz.de/10002625151

CVaR regression based on the relation between CVaR and mixed-quantile quadrangles

Golodnikov, Alex; Kuzmenko, Viktor; Uryasev, Stan - In: Journal of risk and financial management : JRFM 12 (2019) 3/107, pp. 1-22

for the analysis is established with the quadrangle theory of risk functions. We derived relationships between elements of …

Persistent link: https://www.econbiz.de/10012025262

The Gerber Statistic : A Robust Co-Movement Measure for Portfolio Optimization

Gerber, Sander; Markowitz, Harry; Ernst, Philip; Miao, … - 2021

estimation for the purpose of portfolio construction. The Gerber statistic extends Kendall's Tau by counting the proportion of …

Persistent link: https://www.econbiz.de/10013219149

Asset Allocation Ansätze zur Bildung von internationaldiversifizierten Portfolios : eine Analyse auf Basis historischer Daten

Eberhard, Jochen - 2012

Persistent link: https://www.econbiz.de/10015207927