| Article ID: | iaor20083390 |
| Country: | Netherlands |
| Volume: | 35 |
| Issue: | 5 |
| Start Page Number: | 627 |
| End Page Number: | 635 |
| Publication Date: | Sep 2007 |
| Journal: | Operations Research Letters |
| Authors: | Fukushima Masao, Huang Dashan, Fabozzi Frank J. |
| Keywords: | portfolio management |
To deal with the robust portfolio selection problem where only partial information on the exit time distribution and on the conditional distribution of portfolio return is available, we extend the worst-case VaR approach and formulate the corresponding problems as semi-definite programs. Moreover, we present some numerical results with real market data.