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Asset allocation under uncertain parameters
Anyone know of papers or threads on asset allocation under uncertain vol and expected return and correlation? For example suppose vol and return and correlation are in a known range what would be the efficient frontier. Thanks.
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- Cuchulainn
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Asset allocation under uncertain parameters
Paul's book does Uncertain PDE models, i.e. vol, correlation.
Asset allocation under uncertain parameters
Isnt that more derivatives pricing related? I guess what i am looking for is given possible distributions for return, volatility and correlation what is the expected optimal weight allocation to each stock that minimizes Risk and maximizes expected return. I 'll take a look in Paul's book, maybe it is treated there.
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- Cuchulainn
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Asset allocation under uncertain parameters
You are correct. But the UVM might be a good starting point?
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- adannenberg
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Asset allocation under uncertain parameters
I thought about this a long time ago and wrote up my conclusions. Might help... http://arxiv.org/abs/0908.1444
Asset allocation under uncertain parameters
QuoteOriginally posted by: adannenbergI thought about this a long time ago and wrote up my conclusions. Might help... http://arxiv.org/abs/0908.1444Yes, this can help. Subject of paper is exactly what i am looking for. Cheers.
Asset allocation under uncertain parameters
There is a vast litterature on this topic in operation research for example under the name "robust portfolio optimization".Here an examplehttp://repository.kulib.kyoto-u.ac.jp/dspace/bitstream/2433/87374/1/j.ejor.2009.07.010.pdfBut there are plenty of papers on the Net on this subject.