Robust portfolio selection under downside risk measures
文献类型：期刊论文
| 作者 | Zhu, Shushang2; Li, Duan1; Wang, Shouyang3 |
| 刊名 | QUANTITATIVE FINANCE
 |
| 出版日期 | 2009 |
| 卷号 | 9期号:7页码:869-885 |
| 关键词 | Portfolio selection Downside risk Lower-partial moment Robust optimization |
| ISSN号 | 1469-7688 |
| DOI | 10.1080/14697680902852746 |
| 英文摘要 | We investigate a robust version of the portfolio selection problem under a risk measure based on the lower-partial moment (LPM), where uncertainty exists in the underlying distribution. We demonstrate that the problem formulations for robust portfolio selection based on the worst-case LPMs of degree 0, 1 and 2 under various structures of uncertainty can be cast as mathematically tractable optimization problems, such as linear programs, second-order cone programs or semidefinite programs. We perform extensive numerical studies using real market data to reveal important properties of several aspects of robust portfolio selection. We can conclude from our results that robustness does not necessarily imply a conservative policy and is indeed indispensable and valuable in portfolio selection. |
| 资助项目 | National Science Foundation of China[70401009] ; National Science Foundation of China[70518001] ; Research Grants Council, Hong Kong[N_CUHK445/05] |
| WOS研究方向 | Business & Economics ; Mathematics ; Mathematical Methods In Social Sciences |
| 语种 | 英语 |
| WOS记录号 | WOS:000273766300009 |
| 出版者 | ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD |
| 源URL | [http://ir.amss.ac.cn/handle/2S8OKBNM/9225]  |
| 专题 | 中国科学院数学与系统科学研究院 |
| 通讯作者 | Li, Duan |
| 作者单位 | 1.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China 2.Fudan Univ, Sch Management, Dept Management Sci, Shanghai 200433, Peoples R China 3.Chinese Acad Sci, Inst Syst Sci, Acad Math & Syst Sci, Beijing 100080, Peoples R China |
| 推荐引用方式 GB/T 7714 | Zhu, Shushang,Li, Duan,Wang, Shouyang. Robust portfolio selection under downside risk measures[J]. QUANTITATIVE FINANCE,2009,9(7):869-885. |
| APA | Zhu, Shushang,Li, Duan,&Wang, Shouyang.(2009).Robust portfolio selection under downside risk measures.QUANTITATIVE FINANCE,9(7),869-885. |
| MLA | Zhu, Shushang,et al."Robust portfolio selection under downside risk measures".QUANTITATIVE FINANCE 9.7(2009):869-885. |
入库方式： OAI收割
来源：数学与系统科学研究院
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