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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