Robust portfolio selection with uncertain exit time using worst-case VaR strategy

Authors:
Dashan Huang;Frank J. Fabozzi;Masao Fukushima
Affiliations:
Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan;School of Management, Yale University, New Haven CT06520, USA;Department of Applied Mathematics and Physics, Graduate School of Informatics, Kyoto University, Kyoto 606-8501, Japan
Venue:
Operations Research Letters
Year:
2007

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Abstract

To deal with the robust portfolio selection problem where only partial information on the exit time distribution and on the conditional distribution of portfolio return is available, we extend the worst-case VaR approach and formulate the corresponding problems as semi-definite programs. Moreover, we present some numerical results with real market data.