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运筹学学报 ›› 2010, Vol. 14 ›› Issue (4): 21-31.

• 运筹学 • 上一篇    下一篇

证券投资组合优化问题的强健性的锥优化方法(英)

白延琴, 舒儇宇, 张弘捷   

  • 出版日期:2010-12-15 发布日期:2010-12-15

A Conic Programming Approach for Robust Portfolio Optimization Problems

BAI Yan-Qin, SHU Xuan-Yu, ZHANG Hong-Jie   

  • Online:2010-12-15 Published:2010-12-15

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摘要： 本文研究了具有强健性的证券投资组合优化问题.模型以最差条件在值风险为风险度量方法，并且考虑了交易费用对收益的影响.当投资组合的收益率概率分布不能准确确定但是在有界的区间内，尤其是在箱型区间结构和椭球区域结构内时，我们可以把具有强健性的证券投资组合优化问题的模型分别转化成线性规划和二阶锥规划形式.最后，我们用一个真实市场数据的算例来验证此方法.  

Abstract: This paper deals with the robust portfolio optimization problems with linear transaction costs. The model is based on the worst-case Conditional Value-at-Risk (CVaR) risk measure and uncertainty for the portfolio return distribution. We show that the robust portfolio optimization problems with box uncertainty  and ellipsoidal uncertainty structures can be reformulated as linear programming and second-order cone programming, respectively. Moreover, we illustrate our model by an example of market data simulation.