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Conference object . 2011
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Conference object . 2011
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OPTIMAL PORTFOLIO ALLOCATION WITH CVAR: A ROBUSTAPPROACH

descriptionPublicationkeyboard_double_arrow_right Conference object , Part of book or chapter of book 01 Jan 2011 Italy English Publisher:University of Padova
Authors: Grossi, Luigi; Laurini, Fabrizio; SCANDOLO, GIACOMO;

handle: 11562/390278 , 2158/1025897 , 11381/2382391

OPTIMAL PORTFOLIO ALLOCATION WITH CVAR: A ROBUSTAPPROACH

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.

Country
Italy
Related Organizations
Keywords

Robust Statistics, Risk Measures, Portfolio Allocation, CVAR; Portofolio allocation; Robust estimation

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green