Distributionally Robust Return-Risk Optimization Models and Their Applications
Joint Authors
Chen, Kejing
Li, Yanxi
Yang, Li
Zhou, Zhengyong
Source
Journal of Applied Mathematics
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-9, 9 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-05-20
Country of Publication
Egypt
No. of Pages
9
Main Subjects
Abstract EN
Based on the risk control of conditional value-at-risk, distributionally robust return-risk optimization models with box constraints of random vector are proposed.
They describe uncertainty in both the distribution form and moments (mean and covariance matrix of random vector).
It is difficult to solve them directly.
Using the conic duality theory and the minimax theorem, the models are reformulated as semidefinite programming problems, which can be solved by interior point algorithms in polynomial time.
An important theoretical basis is therefore provided for applications of the models.
Moreover, an application of the models to a practical example of portfolio selection is considered, and the example is evaluated using a historical data set of four stocks.
Numerical results show that proposed methods are robust and the investment strategy is safe.
American Psychological Association (APA)
Yang, Li& Li, Yanxi& Zhou, Zhengyong& Chen, Kejing. 2014. Distributionally Robust Return-Risk Optimization Models and Their Applications. Journal of Applied Mathematics،Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-497849
Modern Language Association (MLA)
Yang, Li…[et al.]. Distributionally Robust Return-Risk Optimization Models and Their Applications. Journal of Applied Mathematics No. 2014 (2014), pp.1-9.
https://search.emarefa.net/detail/BIM-497849
American Medical Association (AMA)
Yang, Li& Li, Yanxi& Zhou, Zhengyong& Chen, Kejing. Distributionally Robust Return-Risk Optimization Models and Their Applications. Journal of Applied Mathematics. 2014. Vol. 2014, no. 2014, pp.1-9.
https://search.emarefa.net/detail/BIM-497849
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-497849