Worst-case VaR and robust portfolio optimization with interval random uncertainty set

Wei Chen; Shaohua Tan; Dongqing Yang

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Worst-case VaR and robust portfolio optimization with interval random uncertainty set

机译：设置区间随机不确定性的最坏情况下的风险价值和稳健的投资组合优化

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摘要

This paper addresses a new uncertainty set - interval random uncertainty set for worst-case value-at-risk and robust portfolio optimization. The form of interval random uncertainty set makes it suitable for capturing the downside and upside deviations of real-world data. These deviation measures capture distributional asymmetry and lead to better optimization results. We also apply our interval random chance-constrained programming to robust worst-case value-at-risk optimization under interval random uncertainty sets in the elements of mean vector and covariance matrix. Numerical experiments with real market data indicate that our approach results in better portfolio performance.

机译：本文介绍了一种新的不确定性集-用于最坏情况的风险价值和稳健的资产组合优化的区间随机不确定性集。间隔随机不确定性集的形式使其适合于捕获实际数据的上下偏差。这些偏差量度捕获了分布的不对称性，并导致了更好的优化结果。我们还将均值向量和协方差矩阵元素中的区间随机不确定性集下的区间随机机会受限编程应用于鲁棒的最坏情况下的风险值优化。使用实际市场数据进行的数值实验表明，我们的方法可以提高投资组合的绩效。

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来源
《Expert systems with applications》 |2011年第1期|p.64-70|共7页
作者
Wei Chen; Shaohua Tan; Dongqing Yang;
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作者单位

Key Laboratory of High Confidence Software Technologies (Ministry of Education), School of EECS, Peking University. Beijing 100871, China;

Department of Machine Intelligence, School of EECS, Peking University, Beijing 100871, China;

Key Laboratory of High Confidence Software Technologies (Ministry of Education), School of EECS, Peking University. Beijing 100871, China;

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正文语种 eng
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关键词
nterval random uncertainty set; interval random chance-constrained; programming; value-at-risk;

机译：区间随机不确定性集编程风险价值;

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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. Closed-Form Solutions for Worst-Case Law Invariant Risk Measures with Application to Robust Portfolio Optimization [J] . Li Jonathan Yu-Meng Operations Research: The Journal of the Operations Research Society of America . 2018,第6期

机译：用于最坏情况法的封闭式解决方案，具有适用于强大的投资组合优化的案例法不变风险措施
3. Worst-case robust decisions for multi-period mean-variance portfolio optimization [J] . Gulpinar N, Rustem B European Journal of Operational Research . 2007,第3期

机译：多期平均方差投资组合优化的最坏情况鲁棒决策
4. Robust Value-at-Risk Optimization with Interval Random Uncertainty Set [C] . Chen Wei, Tan Shaohua 22nd IEEE International Conference on Tools with Artificial Intelligence . 2010

机译：具有区间随机不确定性集的鲁棒风险价值优化
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. A novel two-phase robust portfolio selection and optimization approach under uncertainty: A case study of Tehran stock exchange [O] . Pejman Peykani, Emran Mohammadi, Armin Jabbarzadeh, 2020

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7. Closed-form solutions for worst-case law invariant risk measures with application to robust portfolio optimization [O] . Li, Jonathan Yu-Meng 2016

机译：具有最坏情形法不变风险度量的封闭形式解应用于稳健的投资组合优化

Worst-case VaR and robust portfolio optimization with interval random uncertainty set

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