Robust Portfolio Protection: A Scenarios-Based Approach - Archive ouverte HAL Accéder directement au contenu
Pré-Publication, Document De Travail Année : 2014

Robust Portfolio Protection: A Scenarios-Based Approach

Selim Mankai
Khaled Guesmi
  • Fonction : Auteur
  • PersonId : 991198

Résumé

This paper constructs a robust optimization framework of the uncertain worst-case return. The model defines an adjustable discrete uncertainty set which controls the conservatism of the optimal asset allocation. Without prior assumptions on the data generating process, the model also develops an a priori probabilistic guarantee of the robust solution. Unlike previous measures that depend solely on the uncertainty model, the new measure is also sensitive to asset allocation and investment horizon. We provide an application of international stock indexes portfolio protection during the 2008 financial crisis. Computational experiments and ex-post analysis provide evidence for the effectiveness of our model.
Fichier principal
Vignette du fichier
WP_EcoX_2014-35.pdf (1.07 Mo) Télécharger le fichier
Origine : Fichiers produits par l'(les) auteur(s)

Dates et versions

hal-04141326 , version 1 (26-06-2023)

Identifiants

  • HAL Id : hal-04141326 , version 1

Citer

Selim Mankai, Khaled Guesmi. Robust Portfolio Protection: A Scenarios-Based Approach. 2014. ⟨hal-04141326⟩
11 Consultations
12 Téléchargements

Partager

Gmail Facebook X LinkedIn More