WORST-CASE DESIGN IN OPTIMAL PORTFOLIOS

Berc Rustem
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Berc Rustem: Imperial College of Science, Technology & Medicine

No 14, Computing in Economics and Finance 2000 from Society for Computational Economics

Abstract: Optimal decisions robust to future uncertainties are considered. Both continuous and discrete sets of scenarios are discussed with algorithms for solving both cases. In the case of the former a quasi-Newton algorithm is discussed and in the case of the latter, a fast and easily implementable approach is introduced. Optimal portfolio results are used to illustrate the robustness properties of the strategy. A macroeconomic example is also considered.

Date: 2000-07-05
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Persistent link: https://EconPapers.repec.org/RePEc:sce:scecf0:14

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