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Tight Bounds for Some Risk Measures, with Applications to Robust Portfolio Selection
Company: The Chinese University of Hong Kong
Company Url: Click here to open
Year Of Publication: 2009
Month Of Publication: March
Pages: 34
Download Count: 4
View Count: 1376
Comment Num: 0
Language: English
Source: working paper
Who Can Read: Free
Date: 5-18-2010
Publisher: Administrator
Summary
In this paper we develop tight bounds on the expected values of several risk measures that
are of interest to us. The basic setting is to find a portfolio which maximizes (respectively minimizes) the expected utility (respectively disutility) values, in the midst of infinitely many possible ambiguous distributions of the investment returns fitting the given mean and variance estimations. First, we show that the single-stage portfolio selection problem within this framework, whenever the disutility function is in the form of Lower Partial Moments (LPM) or Conditional Value at Risk (CVaR), can be solved analytically.
This document is published in Operations Research (volume 59, number 4) July/August 2011, 847-865.
http://dx.doi.org/10.1287/opre.1110.0950
Author(s)
Chen, Li Sign in to follow this author
He, Simai Sign in to follow this author
Zhang, Shuzhong Sign in to follow this author
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