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首页> 外文期刊>RAIRO Operation Research >ROBUST INVESTMENT MANAGEMENT WITH UNCERTAINTY IN FUND MANAGERS' ASSET ALLOCATION
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ROBUST INVESTMENT MANAGEMENT WITH UNCERTAINTY IN FUND MANAGERS' ASSET ALLOCATION

机译：基金经理资产分配不确定的鲁棒投资管理

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摘要

We consider a problem where an investment manager must allocate an available budget among a set of fund managers, whose asset class allocations are not precisely known to the investment manager. In this paper, we propose a robust framework that takes into account the uncertainty stemming from the fund managers' allocation, as well as the more traditional uncertainty due to uncertain asset class returns, in the context of manager selection and portfolio management when short sales are not allowed. A key application area is university endowments funds. We assume that only bounds on the fund managers' holdings (expressed as fractions of the portfolio) are available, and fractions must sum to 1 for each fund manager. We define worst-case risk as the largest variance attainable by the investment manager's portfolio over that uncertainty set. We propose two exact approaches (of different complexity) and a heuristic one to solve the problem efficiently. Numerical experiments suggest that our robust model provides better protection against risk than the nominal model when the fund managers' allocations are not known precisely.
机译：我们考虑一个问题，即投资经理必须在一组基金经理之间分配可用的预算，而这些资产的资产类别分配是投资经理无法准确知道的。在本文中，我们提出了一个健壮的框架，该框架考虑了在基金经理选择和资产组合管理（卖空）的情况下，由于基金经理的分配所带来的不确定性，以及由于资产类别收益的不确定性而产生的更为传统的不确定性不允许。一个关键的应用领域是大学捐赠基金。我们假设只有基金经理所持资产的界限（表示为投资组合的分数）可用，并且每个基金经理的分数必须合计为1。我们将最坏情况的风险定义为在不确定性设置下投资经理的投资组合可达到的最大方差。我们提出了两种精确的方法（具有不同的复杂性）和一种启发式方法来有效解决问题。数值实验表明，当基金经理的分配未知时，我们的稳健模型比名义模型提供了更好的风险防范能力。

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