Worst-Case Conditional Value-at-Risk with Application to Robust Portfolio Management
成果类型：
Article
署名作者：
Zhu, Shushang; Fukushima, Masao
署名单位：
Fudan University; Kyoto University
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1080.0684
发表日期：
2009
页码：
1155-1168
关键词：
摘要：
This paper considers the worst-case Conditional Value-at-Risk (CVaR) in the situation where only partial information on the underlying probability distribution is available. The minimization of the worst-case CVaR under mixture distribution uncertainty, box uncertainty, and ellipsoidal uncertainty are investigated. The application of the worst-case CVaR to robust portfolio optimization is proposed, and the corresponding problems are cast as linear programs and second-order cone programs that can be solved efficiently. Market data simulation and Monte Carlo simulation examples are presented to illustrate the proposed approach.