Robust Portfolio Selection with Regime Switching and Asymmetric Dependence

2021 ◽  
Author(s):  
Xiaoshan Su ◽  
Manying Bai ◽  
Yingwei Han
Keyword(s):  
Portfolio Selection ◽  
Regime Switching ◽  
Asymmetric Dependence ◽  
Robust Portfolio ◽  
Robust Portfolio Selection

Good deals and benchmarks in robust portfolio selection

2016 ◽  
Vol 250 (2) ◽  
pp. 666-678 ◽  
Author(s):  
Alejandro Balbás ◽  
Beatriz Balbás ◽  
Raquel Balbás
Keyword(s):  
Portfolio Selection ◽  
Robust Portfolio ◽  
Robust Portfolio Selection

scholarly journals A Closed-Form Solution for Robust Portfolio Selection with Worst-Case CVaR Risk Measure

2014 ◽  
Vol 2014 ◽  
pp. 1-9 ◽  
Author(s):  
Le Tang ◽  
Aifan Ling
Keyword(s):  
Portfolio Selection ◽  
Risk Measure ◽  
Closed Form Solution ◽  
Efficient Frontier ◽  
Form Solution ◽  
Var Model ◽  
Numerical Comparison ◽  
Worst Case ◽  
Robust Portfolio ◽  
Robust Portfolio Selection

With the uncertainty probability distribution, we establish the worst-case CVaR (WCCVaR) risk measure and discuss a robust portfolio selection problem with WCCVaR constraint. The explicit solution, instead of numerical solution, is found and two-fund separation is proved. The comparison of efficient frontier with mean-variance model is discussed and finally we give numerical comparison with VaR model and equally weighted strategy. The numerical findings indicate that the proposed WCCVaR model has relatively smaller risk and greater return and relatively higher accumulative wealth than VaR model and equally weighted strategy.

Sparse and robust portfolio selection via semi-definite relaxation

2019 ◽  
Vol 71 (5) ◽  
pp. 687-699 ◽  
Author(s):  
Yongjae Lee ◽  
Min Jeong Kim ◽  
Jang Ho Kim ◽  
Ju Ri Jang ◽  
Woo Chang Kim
Keyword(s):  
Portfolio Selection ◽  
Robust Portfolio ◽  
Robust Portfolio Selection
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