Statistical Decision Models with Risk and Deviation

Michael Zabarankin and Stan Uryasev
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Michael Zabarankin: Stevens Institute of Technology
Stan Uryasev: University of Florida

Chapter Chapter 8 in Statistical Decision Problems, 2014, pp 101-129 from Springer

Abstract: Abstract Statistical decision problems with deviation and risk measures naturally arise in various financial engineering applications such as portfolio selection, risk hedging, index tracking, and factor analysis. For example, Markowitz’s portfolio selection problem minimizes variance, or, equivalently, standard deviation, of the portfolio rate of return subject to a constraint on the expected value of the portfolio rate of return.

Keywords: Sample Path; Optimal Portfolio; Portfolio Selection; Portfolio Weight; Market Portfolio (search for similar items in EconPapers)
Date: 2014
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Persistent link: https://EconPapers.repec.org/RePEc:spr:spochp:978-1-4614-8471-4_8

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DOI: 10.1007/978-1-4614-8471-4_8

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