273 search results - page 10 / 55 » Robust Asset Allocation |
IPPS
2003
IEEE
14 years 27 days ago
2003
IEEE
STAIRS
2008
13 years 9 months ago
2008
SIAMFM
2011
12 years 10 months ago
2011
We consider model-free pricing of digital options, which pay out if the underlying asset has crossed both upper and lower barriers. We make only weak assumptions about the underly...
WSC
2008
13 years 10 months ago
2008
We consider a portfolio allocation problem where the objective function is a tail event such as probability of large portfolio losses. The dependence between assets is captured th...
PC
2010
13 years 6 months ago
2010
• ‘Constructing 130/30-Portfolios with the Omega Ratio’, http://ssrn.com/abstract=1464798 (forthcoming, Journal of Asset Management), (with E. Schumann, G. di Tollo, G. Cabej...