Browsing by Author "Paç, A. B."
Now showing items 1-3 of 3
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Mean semi-deviation from a target and robust portfolio choice under distribution and mean return ambiguity
(Elsevier, 2014-03-15)We consider the problem of optimal portfolio choice using the lower partial moments risk measure for a market consisting of n risky assets and a riskless asset. For when the mean return vector and variance/covariance matrix ... -
On robust portfolio and naïve diversification: mixing ambiguous and unambiguous assets
(Springer New York LLC, 2018)Effect of the availability of a riskless asset on the performance of naïve diversification strategies has been a controversial issue. Defining an investment environment containing both ambiguous and unambiguous assets, we ... -
Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity
(Springer, 2014-01-09)We consider the problem of optimal portfolio choice using the Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR) measures for a market consisting of n risky assets and a riskless asset and where short positions ...
