Instruct: Identify the main and secondary category of Arxiv papers based on the titles and abstracts
Query: Model risk in mean-variance portfolio selection: an analytic solution to
  the worst-case approach   In this paper we consider the worst-case model risk approach described in
Glasserman and Xu (2014). Portfolio selection with model risk can be a
challenging operational research problem. In particular, it presents an
additional optimisation compared to the classical one. We find the analytical
solution for the optimal mean-variance portfolio selection in the worst-case
scenario approach. In the minimum-variance case, we prove that the analytical
solution is significantly different from the one found numerically by
Glasserman and Xu (2014) and that model risk reduces to an estimation risk. A
detailed numerical example is provided.

11
The categories of this paper are: hep-lat
14
The categories of this paper are: math-ph
28
The categories of this paper are: alg-geom
26
The categories of this paper are: bayes-an
20
The categories of this paper are: acc-phys
23
The categories of this paper are: solv-int
7
The categories of this paper are: hep-th
31
The categories of this paper are: ao-sci
10
The categories of this paper are: q-bio
35
The categories of this paper are: mtrl-th
8
The categories of this paper are: hep-ex
30
The categories of this paper are: q-alg
3
The categories of this paper are: physics
18
The categories of this paper are: econ
33
The categories of this paper are: plasm-ph
0
The categories of this paper are: hep-ph