Robust Profit Opportunities in Risky Financial Portfolios

  • Mustafa C. Pinar
  • Reha H. Tütüncü
    • Categories Finance and Economics, Robust Optimization Tags , , Short URL: https://optimization-online.org/?p=9587

    For risky financial securities with given expected return vector and covariance matrix, we propose the concept of a robust profit opportunity in single and multiple period settings. We show that the problem of finding the ``most robust'' profit opportunity can be solved as a convex quadratic programming problem, and investigate its relation to the Sharpe ratio.

    Citation

    Technical Report, Department of Mathematical Sciences, Carnegie Mellon University, Pittsburgh, PA 15213, USA, August 2004.

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