| Article ID: | iaor2006725 |
| Country: | Netherlands |
| Volume: | 33 |
| Issue: | 4 |
| Start Page Number: | 331 |
| End Page Number: | 340 |
| Publication Date: | Jul 2005 |
| Journal: | Operations Research Letters |
| Authors: | Pinar Mustafa ., Ttnc Reha H. |
| Keywords: | finance & banking, programming: quadratic |
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.