The Optimal Robust Portfolio Model Based on CDaR

Xing Yu

doi:10.4028/www.scientific.net/AMR.756-759.2883

Paper Titles

Teaching Agent Model Construction Based on Web Cooperative Learning System
p.2863

Mechanism of Sini Decoction on Coronary Heart Disease in Molecular Level
p.2868

On the Construction of Internet Traffic Billing System
p.2873

The SaaS Applied in Oilfield Software
p.2878

The Optimal Robust Portfolio Model Based on CDaR
p.2883

Virtools Based Development of Computer Experiment
p.2887

Improving Iterative Retinex Algorithm for Dynamic Range Compression
p.2892

Multiple Targets Operation of Reservoir Group in Flood-Season in the Yangtze River
p.2898

An Interest Management in Large-Scale Analytic Simulation
p.2904

HomeAdvanced Materials ResearchAdvanced Materials Research Vols. 756-759The Optimal Robust Portfolio Model Based on CDaR

The Optimal Robust Portfolio Model Based on CDaR

Abstract:

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 portfolio 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.

You might also be interested in these eBooks

View Preview

Info:

Periodical:

Advanced Materials Research (Volumes 756-759)

Pages:

2883-2886

DOI:

https://doi.org/10.4028/www.scientific.net/AMR.756-759.2883

Citation:

Cite this paper

Online since:

September 2013

Authors:

Xing Yu

Keywords:

CDaR, CVaR, Monte Carlo, Portfolio, Robust

Export:

RIS, BibTeX

Price:

Permissions:

Request Permissions

References

[1] Weilun Xu, To discuss that under Mean-Variance model, the influence of VaR or CVaR for portfolio selection[D] , Tsinghua University, (1994).

Google Scholar

[2] Yongchun Xu, Yuelin Gao. CVaR for finance risk management and empire analysis. Search., vol 2. 2009, pp.11-13.

Google Scholar

[3] Rockafellar, R.T., Uryasev, S., Optimization of conditional value at risk. J. Risk 3 (February). 2000. p.21–41.

DOI: 10.21314/jor.2000.038

Google Scholar

[4] Rockafellar, R.T., Uryasev, S., Conditional value at risk for general loss distributions. J. Bank. Finance. (26/7), 2002. p.1443–1471.

DOI: 10.1016/s0378-4266(02)00271-6

Google Scholar

[5] Pflug, G. Ch., 2000. Some remarks on the value at risk and the conditional value at risk. In: Uryasev, S. (Ed. ), Probabilistic Constrained Optimization: Methodology and Applications. Kluwer Academic Publishers.

DOI: 10.1007/978-1-4757-3150-7_15

Google Scholar

[6] Gaivoronski, A.A., Pflug, G., Value at risk in portfolio optimization: properties and computational approach. vol 16, 2001. pp.241-252.

Google Scholar