Robust conditional expectation reward-risk performance measures

DOI10.1016/j.econlet.2021.109827zbMath1467.91163OpenAlexW3137966030MaRDI QIDQ2036926

Noureddine Kouaissah

Publication date: 30 June 2021

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.econlet.2021.109827

zbMATH Keywords

portfolio selectionrobust portfolio optimizationearly-warning systemKOT and JTOK performance measures

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Portfolio theory (91G10)

Cites Work

• Comparison and robustification of Bayes and Black-Litterman models
• On the use of conditional expectation in portfolio selection problems
• On the impact of conditional expectation estimators in portfolio theory
• Robust Convex Optimization
• Portfolio Selection with Robust Estimation
• Theoretical and practical motivations for the use of the moving average rule in the stock market
• Robust Portfolio Selection Problems