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  • robust mean-conditional value at risk portfolio optimization

    جزئیات بیشتر مقاله
    • تاریخ ارائه: 1391/01/01
    • تاریخ انتشار در تی پی بین: 1391/01/01
    • تعداد بازدید: 660
    • تعداد پرسش و پاسخ ها: 0
    • شماره تماس دبیرخانه رویداد: -
     in the portfolio optimization, the goal is to distribute the fixed capital on a set of investment opportunities to maximize return while managing risk. risk and return are quantity es that are used as input paramete rs for the optimal allocation of the capital in the suggested models. but these quantities are not known at the time of the formulation and solving problem. thus they shou ld be estimated to solve the problem which might lead to large error. one of the widely used approaches to deal with such a situation, is robust optimization. in this paper we study the mean-conditional value at risk (m-cvar) portfolio selection problems under the estimation risk in mean return for both interval and ellipsoidal uncertainty sets. equivalent formulations of the robust counterparts are given. at end an example is given to demonstrate the impact of uncertainty.

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