Robust portfolio optimization

Metrika

Volumn 55, Issue 1-2, 2002, Pages 139-149

  Lauprete, G J ^a   Samarov, A M ^b   Welsch, R E ^b  

^a DEUTSCHE BANK AG   (Germany)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Copula; Dependence; Portfolio Optimization; Robustness; Shortfall

Indexed keywords

EID: 0036383137     PISSN: 00261335     EISSN: None     Source Type: Journal    
DOI: 10.1007/s001840200193     Document Type: Conference Paper

References (6)

1. Bertsimas D., Lauprete G.J., Samarov A.M. (2000) Shortfall as a risk measure: Properties, optimization and applications. Technical Report 00-1, MIT Center for Computational Research in Economics and Management Science, Cambridge, to appear in J. of Economic Dynamics and Control, 2002.
2. Huber P.J. (1981) Robust Statistics. Wiley, New York.
3. Joe H. (1997) Multivariate Models and Dependence Concepts. Chapman & Hall, New York.
4. Lauprete G.J. (2001) Portfolio risk minimization under departures from normality. Massachusetts Institute of Technology Ph.D. thesis.
5. Lemus G., Samarov A.M., Welsch R.E. (1999) Portfolio analysis based on value-at-risk. Bulletin of the International Statistical Institute 52:221-222.
6. Nelsen R.B. (1999) An Introduction to Copulas. Springer, New York.