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Article: Optimal asset allocation: a worst scenario expectation approach

TitleOptimal asset allocation: a worst scenario expectation approach
Authors
Yuen, FLYang, H
KeywordsAsset allocation
Incomplete market
Information uncertainty
Risk measure
Worst case scenario
Issue Date2012
PublisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239
Citation
Journal of Optimization Theory and Applications, 2012, v. 153 n. 3, p. 794-811 How to Cite?
DOI: http://dx.doi.org/10.1007/s10957-011-9972-6
AbstractMean-variance criterion has long been the main stream approach in the optimal portfolio theory. The investors try to balance the risk and the return on their portfolio. In this paper, the deviation of the asset return from the investor's expectation in the worst scenario is used as the measure of risk for portfolio selection. One important advantage of this approach is that the investors can base on their own knowledge, information, and preference on various risks, in addition to the asset's volatility, to adjust their exposure to various risks. It also pinpoints one main concern of the investors when they invest, the amount they lose in the worst situation. © 2011 Springer Science+Business Media, LLC.
Persistent Identifierhttp://hdl.handle.net/10722/159899
ISSN
0022-3239
2023 Impact Factor: 1.6
2023 SCImago Journal Rankings: 0.864
ISI Accession Number ID
WOS:000303867400015
References
References in Scopus

 

DC FieldValueLanguage
dc.contributor.authorYuen, FLen_HK
dc.contributor.authorYang, Hen_HK
dc.date.accessioned2012-08-16T05:59:08Z-
dc.date.available2012-08-16T05:59:08Z-
dc.date.issued2012en_HK
dc.identifier.citationJournal of Optimization Theory and Applications, 2012, v. 153 n. 3, p. 794-811en_HK
dc.identifier.issn0022-3239en_HK
dc.identifier.urihttp://hdl.handle.net/10722/159899-
dc.description.abstractMean-variance criterion has long been the main stream approach in the optimal portfolio theory. The investors try to balance the risk and the return on their portfolio. In this paper, the deviation of the asset return from the investor's expectation in the worst scenario is used as the measure of risk for portfolio selection. One important advantage of this approach is that the investors can base on their own knowledge, information, and preference on various risks, in addition to the asset's volatility, to adjust their exposure to various risks. It also pinpoints one main concern of the investors when they invest, the amount they lose in the worst situation. © 2011 Springer Science+Business Media, LLC.en_HK
dc.languageengen_US
dc.publisherSpringer New York LLC. The Journal's web site is located at http://springerlink.metapress.com/openurl.asp?genre=journal&issn=0022-3239en_HK
dc.relation.ispartofJournal of Optimization Theory and Applicationsen_HK
dc.rightsThe original publication is available at www.springerlink.comen_US
dc.subjectAsset allocationen_HK
dc.subjectIncomplete marketen_HK
dc.subjectInformation uncertaintyen_HK
dc.subjectRisk measureen_HK
dc.subjectWorst case scenarioen_HK
dc.titleOptimal asset allocation: a worst scenario expectation approachen_HK
dc.typeArticleen_HK
dc.identifier.emailYuen, FL: F.Yuen@hw.ac.uken_HK
dc.identifier.emailYang, H: hlyang@hku.hk-
dc.identifier.authorityYang, H=rp00826en_HK
dc.description.naturepostprint-
dc.identifier.doi10.1007/s10957-011-9972-6en_HK
dc.identifier.scopuseid_2-s2.0-84860620223en_HK
dc.identifier.hkuros202433en_US
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-84860620223&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume153en_HK
dc.identifier.issue3en_HK
dc.identifier.spage794en_HK
dc.identifier.epage811en_HK
dc.identifier.isiWOS:000303867400015-
dc.publisher.placeUnited Statesen_HK
dc.identifier.scopusauthoridYang, H=7406559537en_HK
dc.identifier.scopusauthoridYuen, FL=35073271000en_HK
dc.identifier.citeulike10130047-
dc.identifier.issnl0022-3239-

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