Output details

Worst-Case Value at Risk of Nonlinear Portfolios

<13> Management Science belongs to the 45 journals used by the Financial Times in compiling the Business School research rank, included in both the Global MBA and EMBA rankings (http://www.ft.com/cms/s/2/3405a512-5cbb-11e1-8f1f-00144feabdc0.html#axzz2ILD1f0S9), and its acceptance rate is below 10%. This paper extends the models and methods developed in the companion paper "Robust Portfolio Optimization with Derivative Insurance Guarantees" (European Journal of Operational Research 210(2), 2011, Pages 410–424, http://dx.doi.org/10.1016/j.ejor.2010.09.027). The models proposed in these papers have recently been used by Axioma, a New York-based financial analytics company (see, e.g., http://www.updatefrom.com/axioma/2011_q2/research_focus.asp), to minimise the downside risk of portfolios with options.