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A Closed-Form Solution for Robust Portfolio Selection with Worst-Case CVaR Risk Measure
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-07-02
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
With the uncertainty probability distribution, we establish the worst-case CVaR (WCCVaR) risk measure and discuss a robust portfolio selection problem with WCCVaR constraint.
The explicit solution, instead of numerical solution, is found and two-fund separation is proved.
The comparison of efficient frontier with mean-variance model is discussed and finally we give numerical comparison with VaR model and equally weighted strategy.
The numerical findings indicate that the proposed WCCVaR model has relatively smaller risk and greater return and relatively higher accumulative wealth than VaR model and equally weighted strategy.
American Psychological Association (APA)
Tang, Le& Ling, Aifan. 2014. A Closed-Form Solution for Robust Portfolio Selection with Worst-Case CVaR Risk Measure. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-476151
Modern Language Association (MLA)
Tang, Le& Ling, Aifan. A Closed-Form Solution for Robust Portfolio Selection with Worst-Case CVaR Risk Measure. Mathematical Problems in Engineering No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-476151
American Medical Association (AMA)
Tang, Le& Ling, Aifan. A Closed-Form Solution for Robust Portfolio Selection with Worst-Case CVaR Risk Measure. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-476151
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-476151