Robust portfolio choice with CVaR and VaR under distribution and mean return ambiguity

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• 作者：A. Burak Pa? ; Mustafa ?. P?nar
• 关键词：Robust portfolio choice ; Ellipsoidal uncertainty ; Conditional Value ; at ; Risk ; Value ; at ; Risk ; Distributional robustness ; 91G10 ; 91B30 ; 90C90
• 刊名：TOP
• 出版年：2014
• 出版时间：October 2014
• 年：2014
• 卷：22
• 期：3
• 页码：875-891
• 全文大小：541 KB
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• 作者单位：A. Burak Pa? (1)
  Mustafa ?. P?nar (1)
  
  1. Deparment of Industrial Engineering, Bilkent University, 06800, Ankara, Turkey
  
• ISSN：1863-8279

文摘

We consider the problem of optimal portfolio choice using the Conditional Value-at-Risk (CVaR) and Value-at-Risk (VaR) measures for a market consisting of n risky assets and a riskless asset and where short positions are allowed. When the distribution of returns of risky assets is unknown but the mean return vector and variance/covariance matrix of the risky assets are fixed, we derive the distributionally robust portfolio rules. Then, we address uncertainty (ambiguity) in the mean return vector in addition to distribution ambiguity, and derive the optimal portfolio rules when the uncertainty in the return vector is modeled via an ellipsoidal uncertainty set. In the presence of a riskless asset, the robust CVaR and VaR measures, coupled with a minimum mean return constraint, yield simple, mean-variance efficient optimal portfolio rules. In a market without the riskless asset, we obtain a closed-form portfolio rule that generalizes earlier results, without a minimum mean return restriction.