Worst-Case Design In Optimal Portfolios
Optimal 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.
To our knowledge, this item is not available for
download. To find whether it is available, there are three
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.
|Date of creation:||05 Jul 2000|
|Date of revision:|
|Contact details of provider:|| Postal: |
Fax: +34 93 542 17 46
Web page: http://enginy.upf.es/SCE/
More information through EDIRC
When requesting a correction, please mention this item's handle: RePEc:sce:scecf0:14. 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 references are entirely missing, you can add them using this form.