Robust min-max portfolio strategies for rival forecast and risk scenarios
AbstractNo abstract is available for this item.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.
Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 24 (2000)
Issue (Month): 11-12 (October)
Contact details of provider:
Web page: http://www.elsevier.com/locate/jedc
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- M. J. Lawrence & R. H. Edmundson & M. J. O'Connor, 1986. "The Accuracy of Combining Judgemental and Statistical Forecasts," Management Science, INFORMS, vol. 32(12), pages 1521-1532, December.
- Spyros Makridakis & Robert L. Winkler, 1983. "Averages of Forecasts: Some Empirical Results," Management Science, INFORMS, vol. 29(9), pages 987-996, September.
- Howe, M A & Rustem, B & Selby, M J P, 1994. "Minimax Hedging Strategy," Computational Economics, Society for Computational Economics, vol. 7(4), pages 245-75.
- Howe, M. A. & Rustem, B., 1997. "A robust hedging algorithm," Journal of Economic Dynamics and Control, Elsevier, vol. 21(6), pages 1065-1092, June.
- Howe, M. A. & Rustem, B. & Selby, M. J. P., 1996. "Multi-period minimax hedging strategies," European Journal of Operational Research, Elsevier, vol. 93(1), pages 185-204, August.
- J. L. Goffin & A. Haurie & J. P. Vial, 1992. "Decomposition and Nondifferentiable Optimization with the Projective Algorithm," Management Science, INFORMS, vol. 38(2), pages 284-302, February.
- Lutgens, F. & Sturm, J.F., 2002. "Robust One Period Option Modelling," Discussion Paper 2002-114, Tilburg University, Center for Economic Research.
- Taboga, Marco, 2004. "A Simple Model of Robust Portfolio Selection," MPRA Paper 16472, University Library of Munich, Germany.
- DeMiguel, Victor & Martin-Utrera, Alberto & Nogales, Francisco J., 2013. "Size matters: Optimal calibration of shrinkage estimators for portfolio selection," Journal of Banking & Finance, Elsevier, vol. 37(8), pages 3018-3034.
- Kai Ye & Panos Parpas & Berç Rustem, 2012. "Robust portfolio optimization: a conic programming approach," Computational Optimization and Applications, Springer, vol. 52(2), pages 463-481, June.
- Zymler, Steve & Rustem, Berç & Kuhn, Daniel, 2011. "Robust portfolio optimization with derivative insurance guarantees," European Journal of Operational Research, Elsevier, vol. 210(2), pages 410-424, April.
- Costa, O. L. V. & Paiva, A. C., 2002. "Robust portfolio selection using linear-matrix inequalities," Journal of Economic Dynamics and Control, Elsevier, vol. 26(6), pages 889-909, June.
- Victor de Miguel & Alberto Martín Utrera & Francisco J. Nogales, 2013. "Parameter uncertainty in multiperiod portfolio optimization with transaction costs," Statistics and Econometrics Working Papers ws132119, Universidad Carlos III, Departamento de Estadística y Econometría.
- Kakouris, Iakovos & Rustem, Berç, 2014. "Robust portfolio optimization with copulas," European Journal of Operational Research, Elsevier, vol. 235(1), pages 28-37.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Zhang, Lei).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.