Maxmin Portfolios in Models Where Immunization is Not Feasible

Balbás, Alejandro; Ibáñez, Alfredo

doi:10.1007/978-1-4757-3613-7_8

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2007

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“…WC approach has also been appreciated in finance, with applications in portfolio management, see e.g. Balbás and Ibañez (2002), Howe (1997, 2002). The use of minimax approaches for designing robust economic policies has been considered by Hansen and Sargent (2001), linking max-min utility theory and robust control theory.…”

Section: Introductionmentioning

confidence: 99%

Worst-case estimation for econometric models with unobservable components

Esteban-Bravo¹,

Vidal-Sanz²

2007

Computational Statistics & Data Analysis

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A worst-case estimator for econometric models containing unobservable components, based on minimax principles for optimal selection of parameters, is proposed. Worst-case estimators are robust against the averse effects of unobservables. Computing worstcase estimators involves solving a minimax continuous problem, which is quite a challenging task. Large sample theory is considered, and a Monte Carlo study of finite-sample properties is conducted. A financial application is considered.

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Section: Introductionmentioning

confidence: 99%