{"43723":{"#nid":"43723","#data":{"type":"event","title":"Dr. Andrew Lim: Robust Portfolio Selection with Benchmarked Objectives","body":[{"value":"\u003Cp\u003ETitle: Robust portfolio selection with benchmarked objectives\n\u003C\/p\u003E\n\u003Cp\u003EIn this paper, we propose and analyze a new approach to finding robust portfolios for asset allocation problems. It differs from the usual worst case approach in that a (dynamic) portfolio is evaluated not only by its performance when there is an adversarial opponent (``nature\u0022), but also by its performance relative to a fully informed benchmark investor who behaves optimally given complete knowledge of the model (i.e. nature\u0027s decision). This relative performance approach has several important properties: (i) optimal decisions are less pessimistic than portfolios obtained from the usual worst case approach, (ii) the dynamic problem reduces to a convex static optimization problem under reasonable choices of the benchmark portfolio for important classes of models including ambiguous jump-diffusions, and (iii) this static problem is dual to a Bayesian version of a single period asset allocation problem where the prior on the unknown parameters (for the dual problem) correspond to the Lagrange multipliers in this duality relationship.\n\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":[{"value":"Andrew Lim is a faculty candidate in ISyE in the area of QCF.","format":"limited_html"}],"field_summary_sentence":[{"value":"Dr. Andrew Lim: Robust Portfolio Selection with Benchmarked Objectives"}],"uid":"27186","created_gmt":"2009-10-12 20:39:08","changed_gmt":"2016-10-08 01:47:54","author":"Jennifer Harris","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2008-04-24T12:00:00-04:00","event_time_end":"2008-04-24T13:00:00-04:00","event_time_end_last":"2008-04-24T13:00:00-04:00","gmt_time_start":"2008-04-24 16:00:00","gmt_time_end":"2008-04-24 17:00:00","gmt_time_end_last":"2008-04-24 17:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[{"id":"5925","name":"Dr. Andrew Lim"}],"core_research_areas":[],"news_room_topics":[],"event_categories":[{"id":"1795","name":"Seminar\/Lecture\/Colloquium"}],"invited_audience":[],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[{"value":"\u003Cstrong\u003EJennifer Harris\u003C\/strong\u003E\u003Cbr \/\u003EH. Milton Stewart School of Industrial and Systems Engineering\u003Cbr \/\u003E\u003Ca href=\u0022http:\/\/www.gatech.edu\/contact\/index.html?id=jh102\u0022\u003EContact Jennifer Harris\u003C\/a\u003E","format":"limited_html"}],"email":[],"slides":[],"orientation":[],"userdata":""}}}