Short sales in Log-robust portfolio management

European Journal of Operational Research, pp. 651-661, 2011.

Cited by: 2|Views5
EI

Abstract:

This paper extends the Log-robust portfolio management approach to the case with short sales, i.e., the case where the manager can sell shares he does not yet own. We model the continuously compounded rates of return, which have been established in the literature as the true drivers of uncertainty, as uncertain parameters belonging to pol...More

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