α-ROBUST PORTFOLIO OPTIMIZATION PROBLEM UNDER THE DISTRIBUTION UNCERTAINTY

被引：0

作者：

DI, Shihan ^{[1
]}

Ma, Dong ^{[2
]}

Zhao, Peibiao ^{[1
]}

机构：

[1] Nanjing Univ Sci & Technol, Sch Math & Stat, Nanjing 210094, Jiangsu, Peoples R China

[2] Nanjing Univ Sci & Technol, Sch Int Educ, Nanjing 210094, Jiangsu, Peoples R China

来源：

JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION | 2023年 / 19卷 / 04期

关键词：

alpha-robust; distribution uncertainty; robust portfolio optimization; generalized Chebyshev's inequality; safety-first; VALUE-AT-RISK; EXPECTED UTILITY; AMBIGUITY;

D O I：

10.3934/jimo.2022054

中图分类号：

T [工业技术];

学科分类号：

08 ;

摘要：

In this paper, we investigate the a-robust portfolio optimization problem under the distribution uncertainty of returns. We establish the model associated with the safety-first criterion and a generalized Chebyshev's inequality. Then we achieve the optimal investment strategy to this model. At the last part, an empirical analysis is carried out.

引用

页码：2528 / 2548

页数：21

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