Abstract
Selected techniques suitable for postoptimality and sensitivity analysis for the optimal value of portfolio management problems based on incompletely known input data are presented. The discussed problems involve Markowitz mean-variance model with estimated expected returns (Section 2), the effect of inclusion of additional scenarios in bond management problems (Section 3) and a treatment of incomplete knowledge of liabilities (Section 4).
Supported by the Grant Agency of the Czech Republic under grant No. 402/93/0631
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Dupačová, J. (1996). Uncertainty about Input Data in Portfolio Management. In: Bertocchi, M., Cavalli, E., Komlósi, S. (eds) Modelling Techniques for Financial Markets and Bank Management. Contributions to Management Science. Physica-Verlag HD. https://doi.org/10.1007/978-3-642-51730-3_2
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DOI: https://doi.org/10.1007/978-3-642-51730-3_2
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