Robust portfolio choice under the interest rate uncertainty

DOI10.1080/02331934.2021.1877703zbMath1501.91162OpenAlexW3132135216MaRDI QIDQ5038165

Elżbieta Krajewska, Lestaw Gajek

Publication date: 29 September 2022

Published in: Optimization (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/02331934.2021.1877703

zbMATH Keywords

incomplete marketsasset-liability managementrobust optimizationinterest rate riskvalue-at-risk portfolio selection

Mathematics Subject Classification ID

Portfolio theory (91G10) Robustness in mathematical programming (90C17)

Cites Work

• Unnamed Item
• Robust portfolio choice with stochastic interest rates
• Approximating sums of products of dependent random variables
• A course in credibility theory and its applications
• Robust Convex Optimization
• An equilibrium characterization of the term structure
• Linear Statistical Inference and its Applications
• Robust Portfolio Selection Problems
• Static and dynamic VaR constrained portfolios with application to delegated portfolio management

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