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- W1920173973 abstract "Korn and Wilmott [9] introduced the worst-case scenario portfolio problem. Although Korn and Wilmott assume that the probability of a crash occurring is unknown, this paper analyzes how the worst-case scenario portfolio problem is affected if the probability of a crash occurring is known. The result is that the additional information of the known probability is not used in the worst-case scenario. This leads to a (q)-quantile approach (instead of a worst case), which is a value at risk-style approach in the optimal portfolio problem with respect to the potential crash. Finally, it will be shown that—under suitable conditions—every stochastic portfolio strategy has at least one superior deterministic portfolio strategy within this approach." @default.
- W1920173973 created "2016-06-24" @default.
- W1920173973 creator A5060447606 @default.
- W1920173973 date "2015-01-01" @default.
- W1920173973 modified "2023-09-23" @default.
- W1920173973 title "Worst-Case Scenario Portfolio Optimization Given the Probability of a Crash" @default.
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- W1920173973 doi "https://doi.org/10.1007/978-3-319-09114-3_15" @default.
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