Portfolio selection with uncertain exit time: A robust CVaR approach

Journal of Economic Dynamics and Control

Volumn 32, Issue 2, 2008, Pages 594-623

  Huang, Dashan ^a   Zhu, Shu Shang ^b   Fabozzi, Frank J ^c   Fukushima, Masao ^a  

^a KYOTO UNIVERSITY   (Japan)

^b FUDAN UNIVERSITY   (China)

^c YALE UNIVERSITY   (United States)

Author keywords

Robust CVaR; Robust portfolio selection; Uncertain exit time

Indexed keywords

EID: 37848998739     PISSN: 01651889     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.jedc.2007.03.003     Document Type: Article

References (31)

1. Acerbi C., and Tasche D. On the coherence of expected shortfall. Journal of Banking and Finance 26 (2002) 1487-1503
2. Alexander G.J., and Baptista A.M. Economic implication of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis. Journal of Economic Dynamics and Control 26 (2002) 1159-1193
3. Artzner P., Delbaen F., Eber J.M., and Heath D. Coherence measures of risk. Mathematical Finance 9 (1999) 203-228
4. Blanchet-Scalliet C., El Karoui N., and Martellini L. Dynamic asset pricing theory with uncertain time-horizon. Journal of Economic Dynamics and Control 29 (2005) 1737-1764
5. Blanchet-Scalliet, C., El Karoui, N., Jeanblanc, M., Martellini, L., 2005b. Optimal investment and consumption decisions when time-horizon is uncertain. Preprint.
6. Costa O.L., and Paiva A.C. Robust portfolio selection using linear-matrix inequality. Journal of Economic Dynamics and Control 26 (2002) 889-909
7. El Ghaoui L., Oks M., and Oustry F. Worst-case value-at-risk and robust portfolio optimization: a conic programming approach. Operations Research 51 (2003) 543-556
8. Erdoǧan, E., Goldfarb, D., Iyengar, G., 2006. Robust active portfolio management. CORC Technical Report.
9. Fabozzi F.J., Gupta F., and Markowitz H.M. The legacy of modern portfolio theory. Journal of Investing 11 3 (2002) 7-22
10. Fabozzi F.J., Kolm P.N., Pachamanova D., and Focardi S.M. Robust Portfolio Optimization and Management (2007), Wiley, Hoboken, NJ
11. Goldfarb D., and Iyengar G. Robust portfolio selection problems. Mathematics of Operations Research 28 (2003) 1-38
12. Hakansson N. Optimal investment and consumption strategies under risk, an uncertain lifetime and insurance. International Economic Review 10 3 (1969) 443-466
13. Hull J.C. Options, Futures, and Other Derivatives (1999), Prentice-Hall, Upper Saddle River, NJ 07458
14. Karatzas I., and Wang H. Utility maximization with discretionary stopping. SIAM Journal of Control and Optimization 39 (2000) 306-329
15. Liu H., and Loewenstein H. Optimal portfolio selection with transaction costs and finite horizon. Review of Financial Studies 15 3 (2002) 805-835
16. Lobo, M.S., Boyd, S., 2000. The worst-case risk of a portfolio, Technical Report, 〈http://faculty.fuqua.kuke.edu/∼mlobo/bio/research/risk-bnd.pdf〉.
17. Markowitz H.M. Portfolio selection. Journal of Finance 7 (1952) 77-91
18. Markowitz H.M. Portfolio Selection: Efficient Diversification of Investment (1959), Wiley, New York
19. Martellini L., and Urošević B. Static mean-variance analysis with uncertain time horizon. Management Science 52 6 (2006) 955-964
20. Merton R.C. Optimal consumption and portfolio rules in a continuous-time model. Journal of Economic Theory 3 (1971) 373-413
21. Mulvey J., Vanderbei R.J., and Zenios S.A. Robust optimization of large scale systems. Operations Research 43 2 (1995) 264-281
22. Odean T. Are investors reluctant to realize their losses. Journal of Finance 53 (1998) 1775-1798
23. Pflug G. Some remarks on the value-at-risk and the conditional value-at-risk. In: Uryasev S. (Ed). Probabilistic Constrained Optimization (2000), Kluwer Academic Publishers, Dordrecht
24. Richard S.F. Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model. Journal of Financial Economics 2 (1975) 187-203
25. Rockafellar R.T., and Uryasev S. Optimization of conditional value-at-risk. Journal of Risk 2 (2000) 21-41
26. Rockafellar R.T., and Uryasev S. Conditional value-at-risk for general loss distribution. Journal of Banking and Finance 26 (2002) 1443-1471
27. Shefrin H., and Statman M. The disposition to sell winners too early and ride losers too long: theory and evidence. Journal of Finance 40 (1985) 777-792
28. Sturm J. Using SeDuMi, a Matlab toolbox for optimization over symmetric cones (2001), Department of Econometrics, Tilburg University, The Netherlands
29. Vanderbei R.J. Linear Programming: Foundations and Extensions (1996), Kluwer Academic Publishers, Dordrecht
30. Yaari M. Uncertain lifetime, life insurance and the theory of the consumer. Review of Economic Studies 2 (1965) 137-150
31. Zhu, S.S., Fukushima, M., 2005. Worst-case conditional value-at-risk with application to robust portfolio management. Technical Report 2005-6, Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, 〈http://www.amp.i.kyoto-u.ac.jp/tecrep/〉.