Focusing on the worst state for robust investing
Year of publication: |
May 2015
|
---|---|
Authors: | Kim, Woo Chang ; Kim, Jang Ho ; Mulvey, John M. ; Fabozzi, Frank J. |
Published in: |
International review of financial analysis. - Amsterdam [u.a.] : Elsevier, ISSN 1057-5219, ZDB-ID 1133622-5. - Vol. 39.2015, p. 19-31
|
Subject: | Investment analysis | Robust portfolios | Worst market state | Worst-case optimization | Mean-variance model |
-
Realized performance of robust portfolios : worst-case Omega vs. CVaR-related models
Yu, Jing-Rung, (2019)
-
Worst-Case Portfolio Optimization under Stochastic Interest Rate Risk
Engler, Tina, (2014)
-
Worst-case portfolio optimization under stochastic interest rate risk
Engler, Tina, (2014)
- More ...
-
Robust portfolios that do not tilt factor exposure
Kim, Woo Chang, (2014)
-
Kim, Woo Chang, (2014)
-
Composition of robust equity portfolios
Kim, Jang Ho, (2013)
- More ...