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    » Performance of Portfolios Optimized with Estimation Error
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    MANSCI
    2007
    62views more  MANSCI 2007»
    Performance of Portfolios Optimized with Estimation Error
    13 years 5 months ago
    Performance of Portfolios Optimized with Estimation Error
    Download  oz.plymouth.edu
    Andrew F. Siegel, Artemiza Woodgate
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    IOR
    2006
    91views more  IOR 2006»
    Robust One-Period Option Hedging
    13 years 5 months ago
    Robust One-Period Option Hedging
    Download  www.fdewb.unimaas.nl
    The paper considers robust optimization to cope with uncertainty about the stock return process in one period option hedging problems. The robust approach relates portfolio choice ...
    Frank Lutgens, Jos F. Sturm, Antoon Kolen
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    EOR
    2010
    125views more  EOR 2010»
    Efficient estimation of large portfolio loss probabilities in t-copula models
    13 years 5 months ago
    Efficient estimation of large portfolio loss probabilities in t-copula models
    Download  www.maths.uq.edu.au
    We consider the problem of accurately measuring the credit risk of a portfolio consisting of loans, bonds and other financial assets. One particular performance measure of interes...
    Joshua C. C. Chan, Dirk P. Kroese
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    WSC
    2008
    189views Modeling And Simulation» more  WSC 2008»
    Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization
    13 years 8 months ago
    Optimizing portfolio tail measures: Asymptotics and efficient simulation optimization
    Download  www.informs-sim.org
    We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
    Sandeep Juneja
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    COR
    2008
    116views more  COR 2008»
    Robust multiperiod portfolio management in the presence of transaction costs
    13 years 5 months ago
    Robust multiperiod portfolio management in the presence of transaction costs
    Download  www.mit.edu
    We study the viability of different robust optimization approaches to multiperiod portfolio selection. Robust optimization models treat future asset returns as uncertain coefficie...
    Dimitris Bertsimas, Dessislava Pachamanova
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