A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure
Joint Authors
Source
Mathematical Problems in Engineering
Issue
Vol. 2014, Issue 2014 (31 Dec. 2014), pp.1-13, 13 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2014-03-31
Country of Publication
Egypt
No. of Pages
13
Main Subjects
Abstract EN
Recently, active portfolio management problems are paid close attention by many researchers due to the explosion of fund industries.
We consider a numerical study of a robust active portfolio selection model with downside risk and multiple weights constraints in this paper.
We compare the numerical performance of solutions with the classical mean-variance tracking error model and the naive 1/N portfolio strategy by real market data from China market and other markets.
We find from the numerical results that the tested active models are more attractive and robust than the compared models.
American Psychological Association (APA)
Ling, Aifan& Tang, Le. 2014. A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure. Mathematical Problems in Engineering،Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-507485
Modern Language Association (MLA)
Ling, Aifan& Tang, Le. A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure. Mathematical Problems in Engineering No. 2014 (2014), pp.1-13.
https://search.emarefa.net/detail/BIM-507485
American Medical Association (AMA)
Ling, Aifan& Tang, Le. A Numerical Study for Robust Active Portfolio Management with Worst-Case Downside Risk Measure. Mathematical Problems in Engineering. 2014. Vol. 2014, no. 2014, pp.1-13.
https://search.emarefa.net/detail/BIM-507485
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-507485