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.
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