Forward-looking robust portfolio selection
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References listed on IDEAS
- Ait-Sahalia, Yacine & Lo, Andrew W., 2000.
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- Michele Leonardo Bianchi & Gian Luca Tassinari, 2018. "Forward-looking portfolio selection with multivariate non-Gaussian models and the Esscher transform," Papers 1805.05584, arXiv.org, revised May 2018.
More about this item
Keywordsportfolio allocation; robust optimization; implied correlation; stock options;
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C02 - Mathematical and Quantitative Methods - - General - - - Mathematical Economics
NEP fieldsThis paper has been announced in the following NEP Reports:
- NEP-ALL-2013-06-16 (All new papers)
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