The paper discuss the sensitivity to the presence of outliers of the portfolio optimization procedure based on the expected shortfall as a measure of risk. A robust approach based on the forward search is then suggested which seems to give quite good results.
OPTIMAL PORTFOLIO ALLOCATION WITH CVAR: A ROBUSTAPPROACH
GROSSI, Luigi;SCANDOLO, Giacomo
2011-01-01
Abstract
The paper discuss the sensitivity to the presence of outliers of the portfolio optimization procedure based on the expected shortfall as a measure of risk. A robust approach based on the forward search is then suggested which seems to give quite good results.
File in questo prodotto:
| File | Dimensione | Formato | |
|---|---|---|---|
|
grossi_etal.pdf
accesso aperto
Tipologia:
Documento in Pre-print
Licenza:
Dominio pubblico
Dimensione
74.56 kB
Formato
Adobe PDF
|
74.56 kB | Adobe PDF | Visualizza/Apri |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
