Technical Appendix: Robust Asset Allocation with Benchmarked Objectives

Lim, Andrew; Shanthikumar, J. George; Watewai, Thaisiri

doi:10.2139/ssrn.1471704

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Technical Appendix: Robust Asset Allocation with Benchmarked Objectives

4 Pages Posted: 30 Sep 2009 Last revised: 29 Sep 2009

See all articles by Andrew Lim

Andrew Lim

National University of Singapore (NUS) - Department of Decision Sciences; National University of Singapore (NUS) - Department of Finance; National University of Singapore (NUS) - Institute for Operations Research and Analytics

J. George Shanthikumar

University of California, Berkeley

Thaisiri Watewai

Chulalongkorn University - Department of Banking & Finance

Date Written: September 11, 2009

Abstract

References and equations in this note are consistent with those in the main paper.

Keywords: ambiguity, model uncertainty, relative performance measure, relative regret, regret, robust portfolio selection, robust control, convex duality, Bayesian models

JEL Classification: D81, G11, C51

Suggested Citation: Suggested Citation

Lim, Andrew E. B. and Shanthikumar, J. George and Watewai, Thaisiri, Technical Appendix: Robust Asset Allocation with Benchmarked Objectives (September 11, 2009). Available at SSRN: https://ssrn.com/abstract=1471704 or http://dx.doi.org/10.2139/ssrn.1471704