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Robust portfolio selection with a combined WCVaR and factor model
1. | Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan |
References:
[1] |
P. Artzner, F. Delbaen, J.-M. Eber and D. Heath, Coherent measures of risk,, Mathematical Finance, 9 (1999), 203.
doi: 10.1111/1467-9965.00068. |
[2] |
T. S. Beder, VAR: Seductive but dangerous,, Financial Analysts Journal, 51 (1995), 12.
doi: 10.2469/faj.v51.n5.1932. |
[3] |
A. Ben-Tal and A. Nemirovski, Robust solutions of uncertain linear programs,, Operations Research Letter, 25 (1999), 1.
doi: 10.1016/S0167-6377(99)00016-4. |
[4] |
L. El Ghaoui, M. Oks and F. Oustry, Worst-case value-at-risk and robust portfolio optimization: A conic programming approach,, Operations Research, 51 (2003), 543.
doi: 10.1287/opre.51.4.543.16101. |
[5] |
F. J. Fabozzi, D. Huang and G. Zhou, Robust portfolios: Contributions from operations research and finance,, Annals of Operations Research, 176 (2010), 191.
doi: 10.1007/s10479-009-0515-6. |
[6] |
E. F. Fama, Efficient capital markets: A review of theory and empirical work, in "Frontiers of Quantitative Economics" (Invited Papers, Econometric Soc. Winter Meetings, New York, 1969),, Contributions to Economic Analysis, (1971), 309.
|
[7] |
E. F. Fama, Efficient capital markets: II,, Journal of Finance, 46 (1991), 1575.
doi: 10.2307/2328565. |
[8] |
E. F. Fama and K. R. French, Common risk factors in the returns on stocks and bonds,, Journal of Financial Economics, 33 (1993), 3.
doi: 10.1016/0304-405X(93)90023-5. |
[9] |
D. Goldfarb and G. Iyengar, Robust portfolio selection problems,, Mathematics of Operations Research, 28 (2003), 1.
doi: 10.1287/moor.28.1.1.14260. |
[10] |
A. Kreinin, L. Merkoulovitch, D. Rosen and Z. Michael, Measuring portfolio risk using quasi Monte Carlo methods,, Algo Research Quarterly, 1 (1998), 17. Google Scholar |
[11] |
J. Lintner, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets,, The Review of Economics and Statistics, 47 (1956), 13.
doi: 10.2307/1924119. |
[12] |
H. M. Markowitz, Portfolio selection,, Journal of Finance, 7 (1952), 77.
doi: 10.2307/2975974. |
[13] |
R. T. Rockafellar and S. Uryasev, Optimization of conditional value-at-risk,, Journal of Risk, 2 (2000), 21. Google Scholar |
[14] |
R. T. Rockafellar and S. Uryasev, Conditional value-at-risk for general loss distribution,, Journal of Banking and Finance, 26 (2002), 1443.
doi: 10.1016/S0378-4266(02)00271-6. |
[15] |
S. A. Ross, The arbitrage theory of capital asset pricing,, Journal of Economic Theory, 13 (1976), 341.
doi: 10.1016/0022-0531(76)90046-6. |
[16] |
W. F. Sharp, Capital asset prices: A theory of market equilibrium under conditions of risk,, Journal of Finance, 19 (1964), 425.
doi: 10.2307/2977928. |
[17] |
S. Zhu and M. Fukushima, Worst-case conditional value-at-risk with application to robust portfolio management,, Operations Research, 57 (2009), 1155.
doi: 10.1287/opre.1080.0684. |
show all references
References:
[1] |
P. Artzner, F. Delbaen, J.-M. Eber and D. Heath, Coherent measures of risk,, Mathematical Finance, 9 (1999), 203.
doi: 10.1111/1467-9965.00068. |
[2] |
T. S. Beder, VAR: Seductive but dangerous,, Financial Analysts Journal, 51 (1995), 12.
doi: 10.2469/faj.v51.n5.1932. |
[3] |
A. Ben-Tal and A. Nemirovski, Robust solutions of uncertain linear programs,, Operations Research Letter, 25 (1999), 1.
doi: 10.1016/S0167-6377(99)00016-4. |
[4] |
L. El Ghaoui, M. Oks and F. Oustry, Worst-case value-at-risk and robust portfolio optimization: A conic programming approach,, Operations Research, 51 (2003), 543.
doi: 10.1287/opre.51.4.543.16101. |
[5] |
F. J. Fabozzi, D. Huang and G. Zhou, Robust portfolios: Contributions from operations research and finance,, Annals of Operations Research, 176 (2010), 191.
doi: 10.1007/s10479-009-0515-6. |
[6] |
E. F. Fama, Efficient capital markets: A review of theory and empirical work, in "Frontiers of Quantitative Economics" (Invited Papers, Econometric Soc. Winter Meetings, New York, 1969),, Contributions to Economic Analysis, (1971), 309.
|
[7] |
E. F. Fama, Efficient capital markets: II,, Journal of Finance, 46 (1991), 1575.
doi: 10.2307/2328565. |
[8] |
E. F. Fama and K. R. French, Common risk factors in the returns on stocks and bonds,, Journal of Financial Economics, 33 (1993), 3.
doi: 10.1016/0304-405X(93)90023-5. |
[9] |
D. Goldfarb and G. Iyengar, Robust portfolio selection problems,, Mathematics of Operations Research, 28 (2003), 1.
doi: 10.1287/moor.28.1.1.14260. |
[10] |
A. Kreinin, L. Merkoulovitch, D. Rosen and Z. Michael, Measuring portfolio risk using quasi Monte Carlo methods,, Algo Research Quarterly, 1 (1998), 17. Google Scholar |
[11] |
J. Lintner, The valuation of risk assets and the selection of risky investments in stock portfolios and capital budgets,, The Review of Economics and Statistics, 47 (1956), 13.
doi: 10.2307/1924119. |
[12] |
H. M. Markowitz, Portfolio selection,, Journal of Finance, 7 (1952), 77.
doi: 10.2307/2975974. |
[13] |
R. T. Rockafellar and S. Uryasev, Optimization of conditional value-at-risk,, Journal of Risk, 2 (2000), 21. Google Scholar |
[14] |
R. T. Rockafellar and S. Uryasev, Conditional value-at-risk for general loss distribution,, Journal of Banking and Finance, 26 (2002), 1443.
doi: 10.1016/S0378-4266(02)00271-6. |
[15] |
S. A. Ross, The arbitrage theory of capital asset pricing,, Journal of Economic Theory, 13 (1976), 341.
doi: 10.1016/0022-0531(76)90046-6. |
[16] |
W. F. Sharp, Capital asset prices: A theory of market equilibrium under conditions of risk,, Journal of Finance, 19 (1964), 425.
doi: 10.2307/2977928. |
[17] |
S. Zhu and M. Fukushima, Worst-case conditional value-at-risk with application to robust portfolio management,, Operations Research, 57 (2009), 1155.
doi: 10.1287/opre.1080.0684. |
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