An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution

Kang, Zhilin; Li, Zhongfei

doi:10.1007/s00186-017-0614-0

Cited by 11 publications

(4 citation statements)

References 32 publications

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“…Two types of ambiguity sets have been proposed: moment-based ambiguity sets and metric-based ambiguity sets. For moment-based ambiguity sets, it is assumed that all distributions in the distribution family satisfy certain moment constraints (Popescu [22]; Delage and Ye [6]; Kang and Li [15]). Metric-based ambiguity sets may contain all distributions that are sufficiently close to a reference distribution or most likely distribution with respect to a probability metric such as the φ-divergence (Bayraksan and Love [1]), and the Wasserstein metric (Esfahani and Kuhn [8]; Jiang and Guan [13]).…”

Section: Zhilin Kang Xingyi LI and Zhongfei Limentioning

confidence: 99%

Mean-CVaR portfolio selection model with ambiguity in distribution and attitude

Kang¹,

Li²,

Li³

2020

Journal of Industrial &Amp; Management Optimization

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In this paper, we develop α-robust (maxmin) models, where the Conditional Value-at-Risk (CVaR) is to be optimized under ambiguity in distribution, mean returns, and covariance matrix. Our models allow the investor to distinguish ambiguity and ambiguity attitude with different levels of ambiguity aversion. For the case when there is a risk-free asset and short-selling is allowed, we obtain the analytic solution for the α-robust CVaR optimization model subject to a minimum mean return constraint. Moreover, we also derive a closed-form portfolio rule for the α-robust mean-CVaR optimization problem in a market without the risk-less asset. The results obtained from solving the numerical example show that if an investor is more ambiguity-averse, his investment strategy will always be more conservative.

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Section: Zhilin Kang Xingyi LI and Zhongfei Limentioning

confidence: 99%

Mean-CVaR portfolio selection model with ambiguity in distribution and attitude

Kang¹,

Li²,

Li³

2020

Journal of Industrial &Amp; Management Optimization

Self Cite

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“…The implementation of the VaR models and their performance were considered by many authors, both from the theoretical and practical point of view (Kang & Li, 2018;Mogel & Auer, 2018;Trottier et al, 2018;Bee et al, 2017;D'Amico & Petroni, 2017;Djakovic & Andjelic, 2017;Goel et al, 2017;Chen & Chiang, 2016;Kambouroudis et al, 2016;Lee, 2016;Wied et al, 2016;Zhou et al, 2016). The evolution of risk management is induced by financial crises (Adrian, 2017).…”

Section: Literature Reviewmentioning

confidence: 99%

Investment Environment Problems Analysis and Evaluation: An Ex Post Empirical Analysis and Performance Implications

Djakovic

Andjelic

Petkovic³

2019

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The research subject is the investment environment problems analysis and evaluation of the developing countries, namely, the Republic of Serbia, Croatia, Slovenia, and Hungary. The analysis was carried out by testing and implementation of the Value-at-Risk models, i.e, the historical simulation (HS VaR), the delta-normal VaR (D VaR) and the extreme value theory model (EVT), with the confidence level of 95% for 100, 200 and 300 days, in the period from 2012 to 2016. The basic hypothesis of the research is that there is a relation between the successful application of the historical simulation (HS VaR), the delta-normal VaR (D VaR) and the extreme value theory model (EVT) and the conditions and opportunities of the investment environment of the developing countries. The research results provide a concrete knowledge of the conditions and circumstances of the investment environment in the observed markets, with a simultaneous performance assessment of the tested VaR models.

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“…In order to obtain the robust optimal solution of the portfolio, they used the method of Robust Conditional Value-at-Risk under Parallelepiped Uncertainty, an evaluation, and a numerical finding of the robust optimal portfolio allocation. Kang and Li [18] proposed a robust meanrisk optimization problem with multiple risk measures under ambiguous distribution in which variance, value of risk (VaR), and conditional value of risk (CVaR) were simultaneously used as a triple-risk measure. And a closedform expression of the portfolio was obtained.…”

Section: Introductionmentioning

confidence: 99%

A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint

Sui

2020

Complexity

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Investors are concerned about the reliability and safety of their capital, especially its liquidity, when investing. This paper sets up a possibilistic portfolio selection model with liquidity constraint. In this model, the asset return and liquidity are fuzzy variables which follow the normal possibility distributions. Liquidity is measured as the turnover rate of the asset. On the basis of possibility theory, we transform the model into a quadratic programming problem to obtain its solution. We illustrate that, in the process of investment, investors can make better use of capital by choosing their investment portfolios according to their expected return and asset liquidity.

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An exact solution to a robust portfolio choice problem with multiple risk measures under ambiguous distribution

Cited by 11 publications

References 32 publications

Mean-CVaR portfolio selection model with ambiguity in distribution and attitude

Mean-CVaR portfolio selection model with ambiguity in distribution and attitude

Investment Environment Problems Analysis and Evaluation: An Ex Post Empirical Analysis and Performance Implications

A Possibilistic Portfolio Model with Fuzzy Liquidity Constraint

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