Robust Asset Allocation Based on Forecasts of Econometric Methods (ARMA & GARCH) and Uncertainty for Return & Covariance
In this paper we use robust optimization to solve asset allocation problem under uncertainty for return and covariance-variance parameters. Not taking uncertainty into account about input parameters in optimization problems can take optimal solutions away from optimum region or make them infeasible....
Guardat en:
| Autors principals: | , |
|---|---|
| Format: | Artigo |
| Idioma: | Persa |
| Publicat: |
University of Tehran
2016-11-01
|
| Col·lecció: | تحقیقات مالی |
| Matèries: | |
| Accés en línia: | https://jfr.ut.ac.ir/article_51502_7aa93032b3ecf2fec64bc23f933afd79.pdf |
| Etiquetes: |
Sense etiquetes, Sigues el primer a etiquetar aquest registre!
|