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.
Titolo: | OPTIMAL PORTFOLIO ALLOCATION WITH CVAR: A ROBUSTAPPROACH |
Autori: | |
Data di pubblicazione: | 2011 |
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. |
Handle: | http://hdl.handle.net/11562/390278 |
ISBN: | 9788861297531 |
Appare nelle tipologie: | 04.01 Contributo in atti di convegno |
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