Browsing by Subject "Financial securities"

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    Robust profit opportunities in risky financial portfolios
    (Elsevier, 2005) Pınar, M. Ç.; Tütüncü, R. H.
    For risky financial securities with given expected return vector and covariance matrix, we propose the concept of a robust profit opportunity in single- and multiple-period settings. We show that the problem of finding the "most robust" profit opportunity can be solved as a convex quadratic programming problem, and investigate its relation to the Sharpe ratio.