Construction of uncertainty sets for portfolio selection problems

Research, Preprint OPEN
Wiechers, Christof;
  • Publisher: Cologne: University of Cologne, Seminar of Economic and Social Statistics
  • Subject: C13 | G11 | G32 | Portfolio Optimization | C18 | Portfolio Optimization,Risk Constraints,Coherent Distortion Risk Measures,Uncertainty Sets | Risk Constraints | Coherent Distortion Risk Measures | Uncertainty Sets | C61
    • jel: jel:G11 | jel:G32 | jel:C13 | jel:C61 | jel:C18
      ddc: ddc:330

While modern portfolio theory grounds on the trade-off between portfolio return and portfolio variance to determine the optimal investment decision, postmodern portfolio theory uses downside risk measures instead of the variance. Prominent examples are given by the risk... View more
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