Robust mean absolute deviation portfolio model under Affine Data Perturbation uncertainty set

机译：仿射数据扰动不确定性下的鲁棒平均绝对偏差投资组合模型

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In this paper, based on the robust optimization techniques in Bertsimas and Sim[8], we propose a computationally tractable robust mean absolute deviation portfolio model. The purpose is to consider parameter uncertainty by controlling the impact of estimation errors on the portfolio strategy performance. The remarkable characteristic of the new method is that the robust optimization model retains the complexity of original portfolio optimization problem, i.e., the robust counterpart problem is still a linear programming problem. Empirical analysis with real market data to illustrate the behavior of the robust optimization model is efficient.

机译：在本文中，基于Bertsimas和Sim [8]中的鲁棒优化技术，我们提出了一个可计算处理的鲁棒平均绝对偏差投资组合模型。目的是通过控制估计误差对投资组合策略绩效的影响来考虑参数不确定性。新方法的显着特点是鲁棒优化模型保留了原始投资组合优化问题的复杂性，即鲁棒对应问题仍然是线性规划问题。用真实市场数据进行的经验分析可以说明鲁棒优化模型的行为是有效的。

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《International Conference on Service Systems and Service Management》|2013年|472-475|共4页
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Dai Zhifeng; Wen Fenghua;
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Linear Programming(LP); Robust Optimization; mean absolute deviation portfolio model; small cap stocks;

机译：线性规划;稳健性优化;平均绝对偏差投资组合模型;小盘股;

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专利

1. Robust CVaR-based portfolio optimization under a genal affine data perturbation uncertainty set [J] . Zhifeng Dai, Fenghua Wen Journal of computational analysis and applications . 2014,第1期

机译：仿射数据扰动不确定集下基于CVaR的稳健投资组合优化
2. An adaptive robust portfolio optimization model with loss constraints based on data-driven polyhedral uncertainty sets [J] . Fernandes Betina, Street Alexandre, Valladao Davi, European Journal of Operational Research . 2016,第3期

机译：基于数据驱动的多面体不确定性集的具有损失约束的自适应鲁棒资产组合优化模型
3. A constrained multi-period robust portfolio model with behavioral factors and an interval semi-absolute deviation [J] . Moghadam Mostafa Abdolahi, Ebrahimi Seyed Babak, Rahmani Donya Journal of Computational and Applied Mathematics . 2020,第期

机译：具有行为因素的受约束多时期强大的投资组合模型及间隔半绝对偏差
4. Robust mean absolute deviation portfolio model under Affine Data Perturbation uncertainty set [C] . Dai Zhifeng, Wen Fenghua International Conference on Service Systems and Service Management . 2013

机译：富于染色数据扰动不确定性集中的强大指明绝对偏差组合模型
5. Robust Value-at-Risk (VaR) Portfolio Selection Problem Under the Joint Ellipsoidal Uncertainty Set In the Presence of Transactions Costs. [D] . Park, Hyekyung. 2017

机译：在存在交易成本的联合椭圆不确定性集合下的鲁棒风险价值（VaR）资产组合选择问题。
6. Many Parameter Sets in a Multicompartment Model Oscillator Are Robust to Temperature Perturbations [O] . Jonathan S. Caplan, Alex H. Williams, Eve Marder 2014

机译：多隔室模型振荡器中的许多参数集对温度扰动具有鲁棒性
7. Credal Model Averaging: dealing robustly with model uncertainty on small data sets. [O] . A. Mignatti, G. Corani, A. Rizzoli 2012

机译：credal模型平均：稳健地处理小数据集上的模型不确定性。
8. Robust Algorithm for Least Absolute Deviations Curve Fitting. [R] . Lei, D., Anderson, I. J., Cox, M. G. 2001

机译：最小绝对偏差曲线拟合的鲁棒算法。

Robust mean absolute deviation portfolio model under Affine Data Perturbation uncertainty set

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