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Portfolio selection with uncertain exit time: A robust CVaR approach

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  • Huang, Dashan
  • Zhu, Shu-Shang
  • Fabozzi, Frank J.
  • Fukushima, Masao

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  • Huang, Dashan & Zhu, Shu-Shang & Fabozzi, Frank J. & Fukushima, Masao, 2008. "Portfolio selection with uncertain exit time: A robust CVaR approach," Journal of Economic Dynamics and Control, Elsevier, vol. 32(2), pages 594-623, February.
    • Handle: RePEc:eee:dyncon:v:32:y:2008:i:2:p:594-623
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    References listed on IDEAS

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    1. Richard, Scott F., 1975. "Optimal consumption, portfolio and life insurance rules for an uncertain lived individual in a continuous time model," Journal of Financial Economics, Elsevier, vol. 2(2), pages 187-203, June.
    2. Costa, O. L. V. & Paiva, A. C., 2002. "Robust portfolio selection using linear-matrix inequalities," Journal of Economic Dynamics and Control, Elsevier, vol. 26(6), pages 889-909, June.
    3. Menahem E. Yaari, 1965. "Uncertain Lifetime, Life Insurance, and the Theory of the Consumer," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 32(2), pages 137-150.
    4. Blanchet-Scalliet, Christophette & El Karoui, Nicole & Martellini, Lionel, 2005. "Dynamic asset pricing theory with uncertain time-horizon," Journal of Economic Dynamics and Control, Elsevier, vol. 29(10), pages 1737-1764, October.
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    6. Harry Markowitz, 1952. "Portfolio Selection," Journal of Finance, American Finance Association, vol. 7(1), pages 77-91, March.
    7. Acerbi, Carlo & Tasche, Dirk, 2002. "On the coherence of expected shortfall," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1487-1503, July.
    8. Laurent El Ghaoui & Maksim Oks & Francois Oustry, 2003. "Worst-Case Value-At-Risk and Robust Portfolio Optimization: A Conic Programming Approach," Operations Research, INFORMS, vol. 51(4), pages 543-556, August.
    9. Isabelle Huault & V. Perret & S. Charreire-Petit, 2007. "Management," Post-Print halshs-00337676, HAL.
    10. Lionel Martellini & Branko Uroševi'{c}, 2006. "Static Mean-Variance Analysis with Uncertain Time Horizon," Management Science, INFORMS, vol. 52(6), pages 955-964, June.
    11. Shefrin, Hersh & Statman, Meir, 1985. "The Disposition to Sell Winners Too Early and Ride Losers Too Long: Theory and Evidence," Journal of Finance, American Finance Association, vol. 40(3), pages 777-790, July.
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    13. D. Goldfarb & G. Iyengar, 2003. "Robust Portfolio Selection Problems," Mathematics of Operations Research, INFORMS, vol. 28(1), pages 1-38, February.
    14. Hakansson, Nils H, 1969. "Optimal Investment and Consumption Strategies under Risk, an Uncertain Lifetime, and Insurance," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 10(3), pages 443-466, October.
    15. Rockafellar, R. Tyrrell & Uryasev, Stanislav, 2002. "Conditional value-at-risk for general loss distributions," Journal of Banking & Finance, Elsevier, vol. 26(7), pages 1443-1471, July.
    16. Hong Liu & Mark Loewenstein, 2002. "Optimal Portfolio Selection with Transaction Costs and Finite Horizons," The Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 805-835.
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