76 search results - page 4 / 16 » Efficient Portfolio Optimization with Conditional Value at R... |
COR
2008
13 years 5 months ago
2008
We study the viability of different robust optimization approaches to multiperiod portfolio selection. Robust optimization models treat future asset returns as uncertain coefficie...
EOR
2008
13 years 5 months ago
2008
The aim of this paper is to apply the concept of robust optimization introduced by Bel-Tal and Nemirovski to the portfolio selection problems based on multi-stage scenario trees. ...
SIAMJO
2010
13 years 15 days ago
2010
When liquidating a portfolio of large blocks of risky assets, an institutional investor wants to minimize the cost as well as the risk of execution. An optimal execution strategy ...
SIGECOM
2010
ACM
13 years 10 months ago
2010
ACM
Recent years have seen extensive investigation of the information aggregation properties of prediction markets. However, relatively little is known about conditions under which a ...
CDC
2008
IEEE
14 years 7 days ago
2008
IEEE
This paper formulates and studies a general continuous-time behavioral portfolio selection model under Kahneman and Tversky's (cumulative) prospect theory, featuring S-shaped...