Robust tracking error portfolio selection with worst-case downside risk measures
This paper proposes downside risk measure models in portfolio selection that captures uncertainties both in distribution and in parameters. The worst-case distribution with given information on the mean value and the covariance matrix is used, together with ellipsoidal and polytopic uncertainty sets...
| Main Authors: | , , |
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| Format: | Journal Article |
| Published: |
Elsevier BV
2014
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| Online Access: | http://hdl.handle.net/20.500.11937/11097 |