Robust Portfolio Management

En We define and compare robust and non-robust versions of Vol-VaR- and CVaR-portfolio selection models showing that robust CVaR is coherent, easy implementable and the most efficient.

[1]  T. W. Anderson.  An Introduction to Multivariate Statistical Analysis , 1959 .

[2]  J. Lintner.  THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS , 1965 .

[3]  Allen L. Soyster,et al.  Technical Note - Convex Programming with Set-Inclusive Constraints and Applications to Inexact Linear Programming , 1973, Oper. Res..

[4]  B. Malkiel.  A Random Walk Down Wall Street , 1973 .

[5]  Fischer Black,et al.  How to Use Security Analysis to Improve Portfolio Selection , 1973 .

[6]  R. C. Merton,et al.  On Estimating the Expected Return on the Market: An Exploratory Investigation , 1980 .

[7]  Andrew Rudd,et al.  Optimal Selection of Passive Portfolios , 1980 .

[8]  E. Elton.  Modern portfolio theory and investment analysis , 1981 .

[9]  Aharon Ben-Tal,et al.  Lectures on modern convex optimization , 1987 .

[10]  P. Frost,et al.  For better performance , 1988 .

[11]  Nigel Meade,et al.  Index Funds—Construction and Performance Measurement , 1989 .

[12]  R. Haugen,et al.  Dedicated stock portfolios , 1990 .

[13]  Robert B. Litterman,et al.  Asset Allocation , 1991 .

[14]  R. Roll,et al.  A Mean/Variance Analysis of Tracking Error , 1992 .

[15]  Olivier J. Blanchard,et al.  Movements in the Equity Premium , 1993 .

[16]  R. Korn,et al.  Optimal index tracking under transac-tion costs and impulse control , 1998 .

[17]  Eric H. Sorensen,et al.  Allocating between Active and Passive Management , 1998 .

[18]  J. Cochrane,et al.  Where is the market going ? Uncertain facts and novel theories , 1997 .

[19]  Laurent El Ghaoui,et al.  Robust Solutions to Uncertain Semidefinite Programs , 1998, SIAM J. Optim..

[20]  Arkadi Nemirovski,et al.  Robust Convex Optimization , 1998, Math. Oper. Res..

[21]  Herold C. Rohweder.  Implementing Stock Selection Ideas , 1998 .

[22]  Stephen P. Boyd,et al.  Applications of second-order cone programming , 1998 .

[23]  Richard O. Michaud,et al.  Efficient Asset Management: A Practical Guide to Stock Portfolio Optimization and Asset Allocation , 1998 .

[24]  W. Ziemba,et al.  Worldwide asset and liability modeling , 1998 .

[25]  Arkadi Nemirovski,et al.  Robust solutions of uncertain linear programs , 1999, Oper. Res. Lett..

[26]  William N. Goetzmann,et al.  Active Portfolio Management , 1999 .

[27]  Philippe Artzner,et al.  Coherent Measures of Risk , 1999 .

[28]  WangMing Yee.  Multiple-Benchmark and Multiple-Portfolio Optimization , 1999 .

[29]  G. Pflug.  Some Remarks on the Value-at-Risk and the Conditional Value-at-Risk , 2000 .

[30]  Niklas Wagner,et al.  Equity index replication with standard and robust regression estimators , 2000, OR Spectr..

[31]  T. Sargent,et al.  Robust Control and Model Uncertainty , 2001 .

[32]  Stanislav Uryasev,et al.  Conditional Value-at-Risk for General Loss Distributions , 2002 .

[33]  Arkadi Nemirovski,et al.  Robust optimization – methodology and applications , 2002, Math. Program..

[34]  Donald Goldfarb,et al.  Robust Portfolio Selection Problems , 2003, Math. Oper. Res..

[35]  Donald Goldfarb,et al.  Robust convex quadratically constrained programs , 2003, Math. Program..

[36]  John E. Beasley,et al.  An evolutionary heuristic for the index tracking problem , 2003, Eur. J. Oper. Res..

[37]  Donald Goldfarb,et al.  Second-order cone programming , 2003, Math. Program..

[38]  A. Meucci.  Risk and asset allocation , 2005 .