Robustifying Convex Risk Measures for Linear Portfolios: A Nonparametric Approach

• 成果类型: Article
• 署名作者: Wozabal, David
• 署名单位: Technical University of Munich
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2014.1323
• 发表日期: 2014
• 页码: 1302-1315
• 关键词: value-at-risk; optimization; selection; coherent; MODEL; uncertainty

摘要

This paper introduces a framework for robustifying convex, law invariant risk measures. The robustified risk measures are defined as the worst case portfolio risk over neighborhoods of a reference probability measure, which represent the investors' beliefs about the distribution of future asset losses. It is shown that under mild conditions, the infinite dimensional optimization problem of finding the worst-case risk can be solved analytically and closed-form expressions for the robust risk measures are obtained. Using these results, robust versions of several risk measures including the standard deviation, the Conditional Value-at-Risk, and the general class of distortion functionals are derived. The resulting robust risk measures are convex and can be easily incorporated into portfolio optimization problems, and a numerical study shows that in most cases they perform significantly better out-of-sample than their nonrobust variants in terms of risk, expected losses, and turnover.