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Articles 211 - 240 of 393

Full-Text Articles in Portfolio and Security Analysis

The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo Apr 2011

The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

This paper evaluates hedge funds that grant favorable redemption terms to investors. Within this group of purportedly liquid funds, high net inflow funds subsequently outperform low net inflow funds by 4.79 percent per year after adjusting for risk. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when funding liquidity, as measured by the TED spread, aggregate hedge fund flows, and prime broker stock returns, is tight. In keeping with an agency explanation, funds with strong incentives to raise capital, low manager option deltas, and no manager capital co-invested are …

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The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo Apr 2011

The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

This paper evaluates hedge funds that grant favorable redemption terms to investors. Within this group of purportedly liquid funds, high net inflow funds subsequently outperform low net inflow funds by 4.79% per year after adjusting for risk. The return impact of fund flows is stronger when funds embrace liquidity risk, when market liquidity is low, and when funding liquidity, as measured by the Treasury-Eurodollar spread, aggregate hedge fund flows, and prime broker stock returns, is tight. In keeping with an agency explanation, funds with strong incentives to raise capital, low manager option deltas, and no manager capital co-invested are more …

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Corn: Correlation-Driven Nonparametric Learning Approach For Portfolio Selection, Bin Li, Steven C. H. Hoi, Vivekanand Gopalkrishnan Apr 2011

Corn: Correlation-Driven Nonparametric Learning Approach For Portfolio Selection, Bin Li, Steven C. H. Hoi, Vivekanand Gopalkrishnan

Research Collection School Of Computing and Information Systems

Machine learning techniques have been adopted to select portfolios from financial markets in some emerging intelligent business applications. In this article, we propose a novel learning-to-trade algorithm termed CO Relation-driven Nonparametric learning strategy (CORN) for actively trading stocks. CORN effectively exploits statistical relations between stock market windows via a nonparametric learning approach. We evaluate the empirical performance of our algorithm extensively on several large historical and latest real stock markets, and show that it can easily beat both the market index and the best stock in the market substantially (without or with small transaction costs), and also surpass a variety …

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Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo Mar 2011

Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection BNP Paribas Hedge Fund Centre

Duplicate, see https://ink.library.smu.edu.sg/lkcsb_research/1867/. This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17 percent per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark …

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Consolidating Information In Option Transactions, Richard Holowczak, Jianfeng Hu, Liuren Wu Mar 2011

Consolidating Information In Option Transactions, Richard Holowczak, Jianfeng Hu, Liuren Wu

Research Collection Lee Kong Chian School Of Business

Underlying each stock trades hundreds of options at different strike prices and maturities. The order flows from these option transactions reveal important information about the underlying stock price. How to aggregate the trade information of different option contracts underlying the same stock presents an interesting and important question for developing microstructure theories and price discovery mechanisms in the derivatives markets. This paper takes options on QQQQ, the Nasdaq 100 tracking stock, as an example and examines different order flow consolidation mechanisms in terms of their effectiveness in extracting information about the underlying stock price and volatility movements. The analysis leads …

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Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo Mar 2011

Hedge Funds, Managerial Skill, And Macroeconomic Variables, Doron Avramov, Robert Kosowski, Narayan Y. Naik, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

This paper evaluates hedge fund performance through portfolio strategies that incorporate predictability based on macroeconomic variables. Incorporating predictability substantially improves out-of-sample performance for the entire universe of hedge funds as well as for various investment styles. While we also allow for predictability in fund risk loadings and benchmark returns, the major source of investment profitability is predictability in managerial skills. In particular, long-only strategies that incorporate predictability in managerial skills outperform their Fung and Hsieh (2004) benchmarks by over 17% per year. The economic value of predictability obtains for different rebalancing horizons and alternative benchmark models. It is also robust …

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Ipo Timing, Buyout Sponsors’ Exit Strategies And Firm Performance Of Rlbos, Jerry Xiaping Cao Mar 2011

Ipo Timing, Buyout Sponsors’ Exit Strategies And Firm Performance Of Rlbos, Jerry Xiaping Cao

Research Collection Lee Kong Chian School Of Business

This paper studies the impact of buyout sponsors’ IPO timing on the LBO restructuring process and subsequent exit strategies. I find that LBO duration is negatively related to hot IPO market conditions. Further, following IPOs, RLBOs with shorter LBO duration experience greater deterioration of performance and higher probability of bankruptcy. This suggests that sponsor’s efforts to enhance operating efficiency succumb to market timing. IPO timing does not affect sponsor’s exit strategies and monitoring post IPO. Sponsors keep an active long-run presence with more reputable sponsors more likely to exit by facilitating takeovers.

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When Are Analyst Recommendation Changes Influential?, Roger Loh, Rene M. Stulz Feb 2011

When Are Analyst Recommendation Changes Influential?, Roger Loh, Rene M. Stulz

Research Collection Lee Kong Chian School Of Business

The existing literature measures the contribution of analyst recommendation changes using average stock-price reactions. With such an approach, recommendation changes can have a significant impact even if no recommendation has a visible stock-price impact. Instead, we call a recommendation change influential only if it affects the stock price of the affected firm visibly. We show that only 12% of recommendation changes are influential. Recommendation changes are more likely to be influential if they are from leader, star, previously influential analysts, issued away from consensus, accompanied by earnings forecasts, and issued on growth, small, high institutional ownership, or high forecast dispersion …

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Out-Of-Sample Industry Return Predictability: Evidence From A Large Number Of Predictors, David E. Rapach, Jack K. Strauss, Jun Tu, Guofu Zhou Feb 2011

Out-Of-Sample Industry Return Predictability: Evidence From A Large Number Of Predictors, David E. Rapach, Jack K. Strauss, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

We uncover extensive evidence of out-of-sample return predictability for industry portfolios based on a principal component approach that incorporates information from a large number of predictors. Moreover, we find substantial differences in the degree of return predictability across industries. To understand these differences, we propose a decomposition of out-of-sample industry return predictability into beta and alpha shares, where the former corresponds to a conditional beta pricing model. A conditional version of the popular Fama-French three-factor model accounts for nearly all out-of-sample industry return predictability, with exposures to time-varying market and size risk premiums especially important for explaining differences in return …

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The Performance Of Venture Capital Funds And Vc-Backed Ipos: An Evidence From China, Weng Hong Lou Jan 2011

The Performance Of Venture Capital Funds And Vc-Backed Ipos: An Evidence From China, Weng Hong Lou

Dissertations and Theses Collection (Open Access)

This study is divided into three parts based on the listed companies on the Small and Medium Enterprise Board on the Shenzhen Stock Exchange in China. The first part is to study the investment performance of Venture Capital Funds. I found that the investment return in terms of investment multiple and annual rate of return is better than those in the US market, and also the VC investment portfolios outperform the public equity market. Furthermore, I compare the performance of non VC-backed IPOs and non VC-backed IPOs by using the Buy-and Hold Abnormal Return and Wealth Relatives. Both measurements show …

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Markowitz Meets Talmud: A Combination Of Sophisticated And Naive Diversification Strategies, Jun Tu, Guofu Zhou Jan 2011

Markowitz Meets Talmud: A Combination Of Sophisticated And Naive Diversification Strategies, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

The modern portfolio theory pioneered by Markowitz (1952) is widely used in practice and extensively taught to MBAs. However, the estimated Markowitz portfolio rule and most of its extensions not only underperform the naive 1/N rule (that invests equally across N assets) in simulations, but also lose money on a risk-adjusted basis in many real data sets. In this paper, we propose an optimal combination of the naive 1/N rule with one of the four sophisticated strategies—the Markowitz rule, the Jorion (1986) rule, the MacKinlay and Pástor (2000) rule, and the Kan and Zhou (2007) rule—as a way to improve …

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Would Price Limits Have Made Any Difference To The 'Flash Crash' On May 6, 2010, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh Jan 2011

Would Price Limits Have Made Any Difference To The 'Flash Crash' On May 6, 2010, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh

Research Collection School Of Computing and Information Systems

On May 6, 2010, the U.S. equity markets experienced a brief but highly unusual drop in prices across a number of stocks and indices. The Dow Jones Industrial Average (see Figure 1) fell by approximately 9% in a matter of minutes, and several stocks were traded down sharply before recovering a short time later. The authors contend that the events of May 6, 2010 exhibit patterns consistent with the type of "flash crash" observed in their earlier study (2010). This paper describes the results of nine different simulations created by using a large-scale computer model to reconstruct the critical elements …

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Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu Nov 2010

Bayesian Analysis Of Structural Credit Risk Models With Microstructure Noises, Shirley J. Huang, Jun Yu

Research Collection Lee Kong Chian School Of Business

In this paper a Markov chain Monte Carlo (MCMC) technique is developed for the Bayesian analysis of structural credit risk models with microstructure noises. The technique is based on the general Bayesian approach with posterior computations performed by Gibbs sampling. Simulations from the Markov chain, whose stationary distribution converges to the posterior distribution, enable exact finite sample inferences of model parameters. The exact inferences can easily be extended to latent state variables and any nonlinear transformation of state variables and parameters, facilitating practical credit risk applications. In addition, the comparison of alternative models can be based on devian information criterion …

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Do Foreign Institutions Improve Stock Liquity?, Chi Shen Wei Nov 2010

Do Foreign Institutions Improve Stock Liquity?, Chi Shen Wei

Research Collection Lee Kong Chian School Of Business

This paper examines whether capital flows by foreign institutions improve liquidity in domestic markets. I find that stocks with increased foreign institutional ownership subsequently experience higher liquidity. However, it is difficult to interpret this evidence as a causal relation because institutions tend to self-select into more liquid stocks. To solve this problem, I exploit the 2003 US dividend tax cut as a natural experiment. The results from a 2SLS (IV) regression confirm that liquidity improved more in dividend-paying stocks located in US tax-treaty countries compared to similar stocks located in non-treaty countries. These patterns are consistent with the notion that …

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Would Position Limits Have Made Any Difference To The 'Flash Crash' On May 6, 2010, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh Nov 2010

Would Position Limits Have Made Any Difference To The 'Flash Crash' On May 6, 2010, Wing Bernard Lee, Shih-Fen Cheng, Annie Koh

Research Collection School Of Computing and Information Systems

On May 6, 2010, the US equity markets experienced a brief but highly unusual drop in prices across a number of stocks and indices. The Dow Jones Industrial Average (DJIA) fell by approximately 9% in a matter of minutes, and several stocks were traded down sharply before recovering a short time later. Earlier research by Lee, Cheng and Koh (2010) identified the conditions under which a “flash crash” can be triggered by systematic traders running highly similar trading strategies, especially when they are “crowding out” other liquidity providers in the market. The authors contend that the events of May 6, …

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International Diversification With Factor Funds, Cheol S. Eun, Sandy Lai, Frans A. De Roon, Zhe Zhang Sep 2010

International Diversification With Factor Funds, Cheol S. Eun, Sandy Lai, Frans A. De Roon, Zhe Zhang

Research Collection Lee Kong Chian School Of Business

We propose a new investment strategy employing “factor funds” to systematically enhance the mean-variance efficiency of international diversification. Our approach is motivated by the increasing evidence that size (SMB), book-to-market (HML), and momentum (MOM) factors, along with the market factor, adequately describe international stock returns, and by the direct link between investors’ portfolio choice problems and international asset pricing theories and tests. Using data from ten developed countries during the period 1981-2008, we show that the “augmented” optimal portfolio involving local factor funds substantially outperforms the “benchmark” optimal portfolio comprising country market indices only as measured by their portfolio Sharpe …

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Investing Into The Abyss: The Continued Misclassification Of Multi-Sector Managed Funds, John R Watson, N. Allen, Kok Fai Phoon, J. Wickramanayake Sep 2010

Investing Into The Abyss: The Continued Misclassification Of Multi-Sector Managed Funds, John R Watson, N. Allen, Kok Fai Phoon, J. Wickramanayake

Research Collection Lee Kong Chian School Of Business

The objective of this paper is to assess whether Australian multi-sector managed funds are misclassified, and then, having found this to be the case, determine if this misclassification has any impact on fund performance. We adopt a strong form of returns based style analysis to investigate a monthly sample of Australian multi-sector funds over the five-year sample period 2003:04-2008:03. The evidence provided demonstrates that insufficient attention has been paid as to whether fund managers are able to keep within their tactical asset allocation ranges and presents that misclassification exist for Australian multi-sector managed funds but that the effect on fund …

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Investor Inattention And The Underreaction To Stock Recommendations, Roger Loh Sep 2010

Investor Inattention And The Underreaction To Stock Recommendations, Roger Loh

Research Collection Lee Kong Chian School Of Business

Investors’ reaction to stock recommendations is often incomplete so that there is a predictable post-recommendation drift. I investigate investor inattention as a plausible explanation for this drift by using prior turnover as a proxy for attention. I find that low attention stocks react less to stock recommendations than high attention stocks around the three-day event window. Subsequently, the recommendation drift of firms with low attention is more than double in magnitude when compared to firms with high attention. Similar conclusions are reached with alternative proxies for attention. The evidence supports investor inattention as a source of the stock recommendation drift.

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Price Movers On The Stock Exchange Of Thailand: Evidence From A Fully Automated Order-Driven Market, Charlie Charoenwong, David K. Ding, Nattawut Jenwittayaroje Aug 2010

Price Movers On The Stock Exchange Of Thailand: Evidence From A Fully Automated Order-Driven Market, Charlie Charoenwong, David K. Ding, Nattawut Jenwittayaroje

Research Collection Lee Kong Chian School Of Business

This study examines trade sizes used by informed traders. The selected sample includes 73 active stocks from the Stock Exchange of Thailand (SET), a pure limit order market, that cover two distinct market conditions of a bull and bear market. Using intraday data, the study finds that large sized trades (i.e., larger than the 75th percentile) account for a disproportionately large impact on changes in traded and quoted prices. This finding compares with the results of studies conducted on U.S. markets that show informed traders employ trade sizes falling between the 40th and 95th percentiles (Barclay and Warner 1993; Chakravarty …

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A Dynamic Model For The Forward Curve, Choong Tze Chua, Foster Dean, Krishna Ramaswamy, Robert Stine Aug 2010

A Dynamic Model For The Forward Curve, Choong Tze Chua, Foster Dean, Krishna Ramaswamy, Robert Stine

Research Collection Lee Kong Chian School Of Business

This article develops and estimates a dynamic arbitrage-free model of the current forward curve as the sum of (i) an unconditional component, (ii) a maturity-specific component and (iii) a date-specific component. The model combines features of the Preferred Habitat model, the Expectations Hypothesis (ET) and affine yield curve models; it permits a class of low-parameter, multiple state variable dynamic models for the forward curve. We show how to construct alternative parametric examples of the three components from a sum of exponential functions, verify that the resulting forward curves satisfy the Heath-Jarrow-Morton (HJM) conditions, and derive the risk-neutral dynamics for the …

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Incorporating Economic Objectives Into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty, Jun Tu, Guofu Zhou Aug 2010

Incorporating Economic Objectives Into Bayesian Priors: Portfolio Choice Under Parameter Uncertainty, Jun Tu, Guofu Zhou

Research Collection Lee Kong Chian School Of Business

This paper proposes a way to allow Bayesian priors to reflect the objectives of an economic problem. That is, we impose priors on the solution to the problem rather than on the primitive parameters whose implied priors can be backed out from the Euler equation. Using monthly returns on the Fama-French 25 size and book-to-market portfolios and their 3 factors from January 1965 to December 2004, we find that investment performances under the objective-based priors can be significantly different from those under alternative priors, with differences in terms of annual certainty-equivalent returns greater than 10% in many cases. In terms …

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The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo Aug 2010

The Liquidity Risk Of Liquid Hedge Funds, Melvyn Teo

Research Collection Lee Kong Chian School Of Business

This paper evaluates hedge funds that grantfavorable redemption terms to investors. Within this group of purportedlyliquid funds, high net inflow funds subsequently outperform low net inflowfunds by 4.79% per year after adjusting for risk. The return impact of fundflows is stronger when funds embrace liquidity risk, when market liquidity islow, and when funding liquidity, as measured by the Treasury-Eurodollar spread,aggregate hedge fund flows, and prime broker stock returns, is tight. Inkeeping with an agency explanation, funds with strong incentives to raisecapital, low manager option deltas, and no manager capital co-invested are morelikely to take on excessive liquidity risk. These results …

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Industry Recommendations: Characteristics, Investment Value, And Relation To Firm Recommendations, Ohad Kadan, Madureira Leonardo, Rong Wang, Tzachi Zach Jul 2010

Industry Recommendations: Characteristics, Investment Value, And Relation To Firm Recommendations, Ohad Kadan, Madureira Leonardo, Rong Wang, Tzachi Zach

Research Collection Lee Kong Chian School Of Business

We study analysts’ industry recommendations. We find that the distribution of industry recommendations is quite balanced. Analysts show more optimism towards industries with high levels of R&D, past profitability and past returns. Industry recommendations possess investment value as portfolios based on these recommendations generate risk-adjusted abnormal returns. Finally, industry recommendations contain information which is orthogonal to that included in firm recommendations, and more so for brokers who benchmark their firm recommendations to industry peers. Consequently, the investment value of analysts’ recommendations is enhanced when both industry and firm recommendations are used.

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Reference Point Adaptation And Disposition Effect: Evidence From Institutional Trading, Chiraphol N. Chiyachantana, Zongfei Yang Jul 2010

Reference Point Adaptation And Disposition Effect: Evidence From Institutional Trading, Chiraphol N. Chiyachantana, Zongfei Yang

Research Collection Lee Kong Chian School Of Business

Using a large proprietary database of institutional trades, we investigate whether, and to what extent, the dynamic adaptation of reference point translates into variations in the disposition effect, and establish three key results. First, the propensity to realize losses declines sharply with the magnitude of prior losses due to insufficient adaptation of reference point. Second, recent adverse information accelerates investors’ adaptation to price depreciation and increases investors’ willingness to realize losses. Finally, a priori of losing money in highly speculative investments decreases investors’ aversion to realize losses. Collectively, the findings suggest that both prior outcomes and recent expectations contribute to …

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Investor Diversification And The Pricing Of Idiosyncratic Risk, Fangjian Fu Jul 2010

Investor Diversification And The Pricing Of Idiosyncratic Risk, Fangjian Fu

Research Collection Lee Kong Chian School Of Business

Theories predict that, due to investor under-diversification, idiosyncratic risk is positively priced in expected stock returns. Empirical studies based on various methodologies yield mixed evidence. This study circumvents the debate on methodological issues and traces the pricing of idiosyncratic risk to its economic source – investor under-diversification. Assuming that institutional investors tend to hold more diversified portfolios and thus care little about idiosyncratic risk relative to individual investors, we find that the positive relation between idiosyncratic risk and stock returns is significantly stronger (weaker) in stocks that are held and traded more by individual (institutional) investors. In addition, the pricing …

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How Predictable Is The Chinese Stock Market?, Fuwei Jiang, David E. Rapach, Jack K. Strauss, Jun Tu Jul 2010

How Predictable Is The Chinese Stock Market?, Fuwei Jiang, David E. Rapach, Jack K. Strauss, Jun Tu

Research Collection Lee Kong Chian School Of Business

We analyze return predictability for the Chinese stock market, including the aggregate market portfolio and the components of the aggregate market, such as portfolios sorted on industry, size, book-to-market and ownership concentration. Considering a variety of economic variables as predictors, both in-sample and out-of-sample tests highlight significant predictability in the aggregate market portfolio of the Chinese stock market and substantial differences in return predictability across components. Among industry portfolios, Finance and insurance, Real estate, and Service exhibit the most predictability, while portfolios of small-cap and low ownership concentration firms also display considerable predictability. Two key findings provide economic explanations for …

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Pricing Options In An Extended Black Scholes Economy With Illiquidity: Theory And Empirical Evidence, Umut Cetin, Robert Jarrow, Mitchell Protter, Mitchell Warachka Jun 2010

Pricing Options In An Extended Black Scholes Economy With Illiquidity: Theory And Empirical Evidence, Umut Cetin, Robert Jarrow, Mitchell Protter, Mitchell Warachka

Research Collection Lee Kong Chian School Of Business

This article studies the pricing of options in an extended Black Scholes economy in which the underlying asset is not perfectly liquid. The resulting liquidity risk is modeled as a stochastic supply curve, with the transaction price being a function of the trade size. Consistent with the market microstructure literature, the supply curve is upward sloping with purchases executed at higher prices and sales at lower prices. Optimal discrete time hedging strategies are then derived. Empirical evidence reveals a significant liquidity cost intrinsic to every option. [PUBLICATION ABSTRACT]

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An Analysis Of Extreme Price Shocks And Illiquidity Among Systematic Trend Followers, Bernard Lee, Shih-Fen Cheng, Annie Koh Jun 2010

An Analysis Of Extreme Price Shocks And Illiquidity Among Systematic Trend Followers, Bernard Lee, Shih-Fen Cheng, Annie Koh

Research Collection Lee Kong Chian School Of Business

We construct an agent-based model to study the interplay between extreme price shocks and illiquidity in the presence of systematic traders known as trend followers. The agent-based approach is particularly attractive in modeling commodity markets because the approach allows for the explicit modeling of production, capacities, and storage constraints. Our study begins by using the price stream from a market simulation involving human participants and studies the behavior of various trend-following strategies, assuming initially that their participation will not impact the market. We notice an incremental deterioration in strategy performance as and when strategies deviate further and further from the …

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Collective Investments For Pension Savings: Lessons From Singapore's Central Provident Fund Scheme, Benedict S. Koh, Olivia S. Mitchell, Joelle H. Y. Fong May 2010

Collective Investments For Pension Savings: Lessons From Singapore's Central Provident Fund Scheme, Benedict S. Koh, Olivia S. Mitchell, Joelle H. Y. Fong

Research Collection Lee Kong Chian School Of Business

Singapore's mandatory national defined contribution pension system permits participants to invest their retirement savings in a wide range of investment instruments if they wish, rather than leaving their savings in Central Provident Fund (CPF) accounts to earn interest rates by default. This article asks whether workers seeking to earn higher returns can expect to do better than the CPF-managed default, by moving their money into professionally managed unit trusts. We use historical data to investigate whether fund managers possess superior stock picking and market timing skills, as well as whether they exhibit persistence in performance and offer diversification benefits to …

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Portfolio Selection Under Distributional Uncertainty: A Relative Robust Cvar In Portfolio Management, Dashan Huang, Shushang Zhu, Frank Fabozzi, Masao Fukushima May 2010

Portfolio Selection Under Distributional Uncertainty: A Relative Robust Cvar In Portfolio Management, Dashan Huang, Shushang Zhu, Frank Fabozzi, Masao Fukushima

Research Collection Lee Kong Chian School Of Business

Robust optimization, one of the most popular topics in the field of optimization and control since the late 1990s, deals with an optimization problem involving uncertain parameters. In this paper, we consider the relative robust conditional value-at-risk portfolio selection problem where the underlying probability distribution of portfolio return is only known to belong to a certain set. Our approach not only takes into account the worst-case scenarios of the uncertain distribution, but also pays attention to the best possible decision with respect to each realization of the distribution. We also illustrate how to construct a robust portfolio with multiple experts …

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