Log-robust portfolio management with parameter ambiguity

Comput. Manag. Science, Volume 14, Issue 2, 2017, Pages 229-256.

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Abstract:

Abstract We present a robust optimization approach to portfolio management under uncertainty when randomness is modeled using uncertainty sets for the continuously compounded rates of return, which empirical research argues are the true drivers of uncertainty, but the parameters needed to define the uncertainty sets, such as the drift and...More

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