Robust tracking error portfolio selection with worst-case downside risk measures

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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...

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Bibliographic Details
Main Authors:	Ling, A., Sun, Jie, Yang, X.
Format:	Journal Article
Published:	Elsevier BV 2014
Online Access:	http://hdl.handle.net/20.500.11937/11097

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