Advanced Search
MyIDEAS: Login

Robust investment policies with bound forecasts

Contents:

Author Info

  • Nalan Gulpinar
  • Berc Rustem
Registered author(s):

    Abstract

    We present a continuous minimax model for robust portfolio optimization based on worst-case analysis. The classical Markowitz framework is extended to continuous minimax with upper and lower bounds on the return scenarios and a discrete number of rival risk scenarios. The model integrates benchmark relative computations in view of scalable (not fixed) transaction costs. It evaluates worst-case optimal strategies in view of upper and lower bounds on forecast return and a discrete set of risk scenarios. Robustness arises from the non-inferiority of the min-max strategy. The robust optimal policies are obtained simultaneously with the worst-case scenario. We apply the model to a selection of investment problem and evaluate the ex-ante performance of the strategy using historical data.

    Download Info

    To our knowledge, this item is not available for download. To find whether it is available, there are three options:
    1. Check below under "Related research" whether another version of this item is available online.
    2. Check on the provider's web page whether it is in fact available.
    3. Perform a search for a similarly titled item that would be available.

    Bibliographic Info

    Paper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 68.

    as in new window
    Length:
    Date of creation: 11 Aug 2004
    Date of revision:
    Handle: RePEc:sce:scecf4:68

    Contact details of provider:
    Email:
    Web page: http://comp-econ.org/
    More information through EDIRC

    Related research

    Keywords: Continuous minimax; rival scenarios; portfolio optimization;

    Find related papers by JEL classification:

    References

    No references listed on IDEAS
    You can help add them by filling out this form.

    Citations

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:sce:scecf4:68. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Christopher F. Baum).

    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.