Robust Asset Allocation Based on Forecasts of Econometric Methods (ARMA & GARCH) and Uncertainty for Return & Covariance
In this paper we use robust optimization to solve asset allocation problem under uncertainty for return and covariance-variance parameters. Not taking uncertainty into account about input parameters in optimization problems can take optimal solutions away from optimum region or make them infeasible....
| Main Authors: | , |
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| Format: | Article |
| Language: | fas |
| Published: |
University of Tehran
2016-11-01
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| Series: | تحقیقات مالی |
| Subjects: | |
| Online Access: | https://jfr.ut.ac.ir/article_51502_7aa93032b3ecf2fec64bc23f933afd79.pdf |