Portfolio selection with uncertain exit time: A robust CVaR approach
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Bibliographic InfoArticle provided by Elsevier in its journal Journal of Economic Dynamics and Control.
Volume (Year): 32 (2008)
Issue (Month): 2 (February)
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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.:
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- Carlo Acerbi & Dirk Tasche, 2001.
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cond-mat/0104295, arXiv.org, revised May 2002.
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- 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.
- 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.
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- 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.
- 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.
- Terrance Odean, 1998. "Are Investors Reluctant to Realize Their Losses?," Journal of Finance, American Finance Association, vol. 53(5), pages 1775-1798, October.
- 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.
- 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.
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