The Optimal Robust Portfolio Model Based on CDaR

摘要：

　　This paper proposed a robust portfolio model,using CDaR to measure portfolio risk.Due to uncertainty parameter,we constructed ellipsoidal uncertainty set as the parameters uncertainty set to maximize the portfofio return.We verified the operable of the model with numerical simulation.The result shows that the risk is higher compared to without robust case,which is helpful to cautious investment for investors.

关键词： portfolio CDaR robust CVaR Monte Carlo

作者: Xing Yu

作者单位: Department of Mathematics & Applied Mathematics of Hunan University of humanities Science and technologyLoudi,China

会议类型: 国际会议

会议名称: 2012 2nd International Conference on Computer and Information Applications(ICCIA2012)(2012第二届计算机和信息应用国际会议)

会议地点: 太原

会议语种:英文

页码: 904-906

在线出版日期: 2012-12-08（万方平台首次上网日期，不代表论文的发表时间）