Title

Robust Portfolio Selection with Uncertain Exit Time Using Worst-Case VaR Strategy

Publication Type

Journal Article

Publication Date

9-2007

Abstract

To deal with the robust portfolio selection problem where only partial information on the exit time distribution and on the conditional distribution of portfolio return is available, we extend the worst-case VaR approach and formulate the corresponding problems as semi-definite programs. Moreover, we present some numerical results with real market data.

Keywords

Semi-definite programming; Worst-case VaR; Robust portfolio selection; Uncertain exit time

Discipline

Finance and Financial Management | Portfolio and Security Analysis

Research Areas

Finance

Publication

Operations Research Letters

Volume

35

Issue

5

First Page

627

Last Page

635

ISSN

0167-6377

Identifier

10.1016/j.orl.2006.10.005

Publisher

Elsevier

Additional URL

http://dx.doi.org/10.1016/j.orl.2006.10.005

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