Optimal Asset Allocation: A Worst Scenario Expectation Approach

Fei Lung Yuen, Hailiang Yang*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

2 Citations (Scopus)


Mean-variance criterion has long been the main stream approach in the
optimal portfolio theory. The investors try to balance the risk and the return on their
portfolio. In this paper, the deviation of the asset return from the investor’s expectation in the worst scenario is used as the measure of risk for portfolio selection.
One important advantage of this approach is that the investors can base on their own
knowledge, information, and preference on various risks, in addition to the asset’s
volatility, to adjust their exposure to various risks. It also pinpoints one main concern
of the investors when they invest, the amount they lose in the worst situation.
Original languageEnglish
Pages (from-to)794-811
JournalJournal of Optimization Theory and Applications
Publication statusPublished - 2012
Externally publishedYes


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