The paper discuss the sensitivity to the presence of outliers of the portfolio optimization procedure based on the expected shortfall as a measure of risk. A robust approach based on the forward search is then suggested which seems to give quite good results.
Optimal portfolio allocation with CVaR: a robust approach / Grossi, Luigi; Laurini, Fabrizio; Scandolo, Giacomo. - ELETTRONICO. - (2011), pp. 0-5. (Intervento presentato al convegno Proceedings of the 7th Conference on Statistical Computation and Complex Systems).
Optimal portfolio allocation with CVaR: a robust approach
SCANDOLO, GIACOMO
2011
Abstract
The paper discuss the sensitivity to the presence of outliers of the portfolio optimization procedure based on the expected shortfall as a measure of risk. A robust approach based on the forward search is then suggested which seems to give quite good results.
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