Forward-looking robust portfolio selection
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Cited by:
- Wolfgang Schadner & Joshua Traut, 2022. "Estimating Forward-Looking Stock Correlations from Risk Factors," Mathematics, MDPI, vol. 10(10), pages 1-19, May.
- 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.
- Sanford, Anthony, 2022. "Optimized portfolio using a forward-looking expected tail loss," Finance Research Letters, Elsevier, vol. 46(PB).
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More about this item
Keywords
portfolio allocation; robust optimization; implied correlation; stock options;All these keywords.
JEL classification:
- 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
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