Robust portfolio selection under downside risk measures

doi:10.1080/14697680902852746

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	Robust portfolio selection under downside risk measures
	Zhu, Shushang 2; Li, Duan 1; Wang, Shouyang 3
	2009
发表期刊	QUANTITATIVE FINANCE
ISSN	1469-7688
卷号	9 期号:7 页码:869-885
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.
关键词	Portfolio selection Downside risk Lower-partial moment Robust optimization
DOI	10.1080/14697680902852746
语种	英语
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
WOS类目	Business, Finance ; Economics ; Mathematics, Interdisciplinary Applications ; Social Sciences, Mathematical Methods
WOS记录号	WOS:000273766300009
出版者	ROUTLEDGE JOURNALS, TAYLOR & FRANCIS LTD
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/9226
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.