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

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.
9788861297531
CVAR; Portofolio allocation; Robust estimation
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/11562/390278
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