Browsing by Keywords "Dynamic Portfolio Rules"
Now showing items 1-2 of 2
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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 ... -
Robust portfolio optimization with risk measures under distributional uncertainty
(Bilkent University, 2016-08)In this study, we consider the portfolio selection problem with different risk measures and different perspectives regarding distributional uncertainty. First, we consider the problem of optimal portfolio choice using the ...
