WORST-CASE DESIGN IN OPTIMAL PORTFOLIOS

Optimal decisions robust to future uncertainties are considered. Both continuous and discrete sets of scenarios are discussed with algorithms for solving both cases. In the case of the former a quasi-Newton algorithm is discussed and in the case of the latter, a fast and easily implementable approach is introduced. Optimal portfolio results are used to illustrate the robustness properties of the strategy. A macroeconomic example is also considered.

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Year of publication:	2000-07-05
Authors:	Rustem, Berc
Institutions:	Society for Computational Economics - SCE

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Series:	Computing in Economics and Finance 2000.
Type of publication:	Book / Working Paper
Notes:	The text is part of a series Computing in Economics and Finance 2000 Number 14
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005132722