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Portfolio selection with uncertain exit time: A robust CVaR approach

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  • Huang, Dashan
  • Zhu, Shu-Shang
  • Fabozzi, Frank J.
  • Fukushima, Masao

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File URL: http://www.sciencedirect.com/science/article/B6V85-4NM5XNT-1/2/161a64fd2d6d68ed5f475ca1334d6bed
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Bibliographic Info

Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 32 (2008)
Issue (Month): 2 (February)
Pages: 594-623

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Handle: RePEc:eee:dyncon:v:32:y:2008:i:2:p:594-623

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Web page: http://www.elsevier.com/locate/jedc

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References

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  1. Lionel Martellini & Branko Uroševi\'{c}, 2006. "Static Mean-Variance Analysis with Uncertain Time Horizon," Management Science, INFORMS, vol. 52(6), pages 955-964, June.
  2. 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.
  3. Terrance Odean, 1998. "Are Investors Reluctant to Realize Their Losses?," Journal of Finance, American Finance Association, vol. 53(5), pages 1775-1798, October.
  4. Shefrin, Hersh & Statman, Meir, 1985. " The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 777-90, July.
  5. Hakansson, Nils H, 1969. "Optimal Investment and Consumption Strategies under Risk, an Uncertain Lifetime, and Insurance," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(3), pages 443-66, October.
  6. Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
  7. Hong Liu & Mark Loewenstein, 2002. "Optimal Portfolio Selection with Transaction Costs and Finite Horizons," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 805-835.
  8. Richard, Scott F., 1975. "Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model," Journal of Financial Economics, Elsevier, vol. 2(2), pages 187-203, June.
  9. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
  10. Carlo Acerbi & Dirk Tasche, 2001. "On the coherence of Expected Shortfall," Papers cond-mat/0104295, arXiv.org, revised May 2002.
  11. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, 03.
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Cited by:
  1. Ryoichi Nishimura & Shunsuke Hayashi & Masao Fukushima, 2013. "SDP reformulation for robust optimization problems based on nonconvex QP duality," Computational Optimization and Applications, Springer, vol. 55(1), pages 21-47, May.
  2. Luigi Grossi & Fabrizio Laurini, 2011. "Robust estimation of efficient mean–variance frontiers," Advances in Data Analysis and Classification, Springer, vol. 5(1), pages 3-22, April.
  3. Ling, Aifan & Sun, Jie & Yang, Xiaoguang, 2014. "Robust tracking error portfolio selection with worst-case downside risk measures," Journal of Economic Dynamics and Control, Elsevier, vol. 39(C), pages 178-207.

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