Arbeitspapier
Geometrical framework for robust portfolio optimization
We consider a vector-valued multivariate risk measure that depends on the user's profile given by the user's utility. It is constructed on the basis of weighted-mean trimmed regions and represents the solution of an optimization problem. The key feature of this measure is convexity. We apply the measure to the portfolio selection problem, employing different measures of performance as objective functions in a common geometrical framework.
- Sprache
-
Englisch
- Erschienen in
-
Series: Discussion Papers in Econometrics and Statistics ; No. 01/14
- Klassifikation
-
Wirtschaft
- Thema
-
Multivariate risk measure
robust portfolio optimization
weighted-mean trimmed regions
data central regions
convex risk measure
distortion risk measure
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Bazovkin, Pavel
- Ereignis
-
Veröffentlichung
- (wer)
-
University of Cologne, Institute of Econometrics and Statistics
- (wo)
-
Cologne
- (wann)
-
2014
- Handle
- Letzte Aktualisierung
-
10.03.2025, 11:45 MEZ
Datenpartner
Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Bazovkin, Pavel
- University of Cologne, Institute of Econometrics and Statistics
Entstanden
- 2014
Ähnliche Objekte (12)
Robust optimization-based commodity portfolio performance
Three Essays on Robust Optimization of Efficient Portfolios
Robuste Portfolio-Optimierung
Robust portfolio optimization: A stochastic evaluation of worst-case scenarios
A new distributionally robust reward-risk model for portfolio optimization
Geometrical and combinatorial optimization problems
Online First-Order Framework for Robust Convex Optimization
An oracle-based framework for robust combinatorial optimization
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
Consistency in portfolio optimization : a new approach using the general framework of portfolio theory
Bond portfolio optimization
Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization
Robust optimization-based commodity portfolio performance
Three Essays on Robust Optimization of Efficient Portfolios
Robuste Portfolio-Optimierung
Robust portfolio optimization: A stochastic evaluation of worst-case scenarios
A new distributionally robust reward-risk model for portfolio optimization
Geometrical and combinatorial optimization problems
Online First-Order Framework for Robust Convex Optimization
An oracle-based framework for robust combinatorial optimization
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
Consistency in portfolio optimization : a new approach using the general framework of portfolio theory
Bond portfolio optimization
Combining RMT-based filtering with time-stamped resampling for robust portfolio optimization
Robust optimization-based commodity portfolio performance
Three Essays on Robust Optimization of Efficient Portfolios
Robuste Portfolio-Optimierung
Robust portfolio optimization: A stochastic evaluation of worst-case scenarios
A new distributionally robust reward-risk model for portfolio optimization
Geometrical and combinatorial optimization problems
Online First-Order Framework for Robust Convex Optimization
An oracle-based framework for robust combinatorial optimization
Robust covariance estimators for mean-variance portfolio optimization with transaction lots
Consistency in portfolio optimization : a new approach using the general framework of portfolio theory
Bond portfolio optimization