Worst-Case Design In Optimal Portfolios
AbstractOptimal 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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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2000 with number 14.
Date of creation: 05 Jul 2000
Date of revision:
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Postal: CEF 2000, Departament d'Economia i Empresa, Universitat Pompeu Fabra, Ramon Trias Fargas, 25,27, 08005, Barcelona, Spain
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Web page: http://enginy.upf.es/SCE/
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