Robust profit opportunities in risky financial portfolios

dc.citation.epage	340	en_US
dc.citation.issueNumber	4	en_US
dc.citation.spage	331	en_US
dc.citation.volumeNumber	33	en_US
dc.contributor.author	Pınar, M. Ç.	en_US
dc.contributor.author	Tütüncü, R. H.	en_US
dc.date.accessioned	2016-02-08T10:23:04Z
dc.date.available	2016-02-08T10:23:04Z
dc.date.issued	2005	en_US
dc.department	Department of Industrial Engineering	en_US
dc.description.abstract	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.	en_US
dc.description.provenance	Made available in DSpace on 2016-02-08T10:23:04Z (GMT). No. of bitstreams: 1 bilkent-research-paper.pdf: 70227 bytes, checksum: 26e812c6f5156f83f0e77b261a471b5a (MD5) Previous issue date: 2005	en
dc.identifier.doi	10.1016/j.orl.2004.08.005	en_US
dc.identifier.eissn	1872-7468
dc.identifier.issn	0167-6377
dc.identifier.uri	http://hdl.handle.net/11693/24031
dc.language.iso	English	en_US
dc.publisher	Elsevier	en_US
dc.relation.isversionof	http://dx.doi.org/10.1016/j.orl.2004.08.005	en_US
dc.source.title	Operations Research Letters	en_US
dc.subject	Financial securities	en_US
dc.subject	Arbitrage	en_US
dc.subject	Robust optimization	en_US
dc.subject	Sharpe ratio	en_US
dc.title	Robust profit opportunities in risky financial portfolios	en_US
dc.type	Article	en_US

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