Robust portfolios that do not tilt factor exposure

Cited 14 time in webofscience Cited 0 time in scopus
  • Hit : 333
  • Download : 0
Robust portfolios reduce the uncertainty in portfolio performance. In particular, the worst-case optimization approach is based on the Markowitz model and form portfolios that are more robust compared to mean-variance portfolios. However, since the robust formulation finds a different portfolio from the optimal mean-variance portfolio, the two portfolios may have dissimilar levels of factor exposure. In most cases, investors need a portfolio that is not only robust but also has a desired level of dependency on factor movement for managing the total portfolio risk. Therefore, we introduce new robust formulations that allow investors to control the factor exposure of portfolios. Empirical analysis shows that the robust portfolios from the proposed formulations are more robust than the classical mean-variance approach with comparable levels of exposure on fundamental factors.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2014-04
Language
English
Article Type
Article
Keywords

CONVEX-OPTIMIZATION; ASSET ALLOCATION; SELECTION; RISK; RETURNS

Citation

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH, v.234, no.2, pp.411 - 421

ISSN
0377-2217
DOI
10.1016/j.ejor.2013.03.029
URI
http://hdl.handle.net/10203/188830
Appears in Collection
IE-Journal Papers(저널논문)
Files in This Item
There are no files associated with this item.
This item is cited by other documents in WoS
⊙ Detail Information in WoSⓡ Click to see webofscience_button
⊙ Cited 14 items in WoS Click to see citing articles in records_button

qr_code

  • mendeley

    citeulike


rss_1.0 rss_2.0 atom_1.0