Robust Portfolio Management

@misc{citeulike:2086868, abstract = {In this paper we present robust models for index tracking and active portfolio management. The goal of these models is to control the e\#ect of statistical errors in estimating market parameters on the performance of the portfolio. The proposed models allow one to impose additional side constraints such as bounds on the portfolio holdings, constraints on the portfolio beta, limits on cash exposure, etc. The optimal portfolios are computed by solving second-order cone programs. Since the...}, author = {Erdogan, E. and Goldfarb, D. and Iyengar, G. }, citeulike-article-id = {2086868}, keywords = {asset, economics, finance, index, management, optimization, portfolio, statistics, tracking}, posted-at = {2007-12-10 21:37:02}, priority = {2}, title = {Robust Portfolio Management}, url = {http://citeseer.ist.psu.edu/719657.html} }

TY - GEN ID - citeulike:2086868 L3 - citeulike-article-id:2086868 TI - Robust Portfolio Management N2 - In this paper we present robust models for index tracking and active portfolio management. The goal of these models is to control the e#ect of statistical errors in estimating market parameters on the performance of the portfolio. The proposed models allow one to impose additional side constraints such as bounds on the portfolio holdings, constraints on the portfolio beta, limits on cash exposure, etc. The optimal portfolios are computed by solving second-order cone programs. Since the... KW - asset KW - economics KW - finance KW - index KW - management KW - optimization KW - portfolio KW - statistics KW - tracking AU - Erdogan, E AU - Goldfarb, D AU - Iyengar, G UR - http://citeseer.ist.psu.edu/719657.html ER -