A mean-CVaR-skewness portfolio optimization model based on asymmetric Laplace distribution

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• 作者：Shangmei Zhao (1)
  Qing Lu (1)
  Liyan Han (1)
  Yong Liu (2)
  Fei Hu (1)
  
• 关键词：Conditional value ; at ; risk ; Skewness ; Asymmetric Laplace distribution ; Mean ; CVaR ; skewness model
• 刊名：Annals of Operations Research
• 出版年：2015
• 出版时间：March 2015
• 年：2015
• 卷：226
• 期：1
• 页码：727-739
• 全文大小：208 KB
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• 作者单位：Shangmei Zhao (1)
  Qing Lu (1)
  Liyan Han (1)
  Yong Liu (2)
  Fei Hu (1)
  
  1. School of Economics and Management, Beihang University, Beijing, 100191, China
  2. Zhongguancun Development Group, Beijing, China
  
• 刊物类别：Business and Economics
• 刊物主题：Economics
  Operation Research and Decision Theory
  Combinatorics
  Theory of Computation
  
• 出版者：Springer Netherlands
• ISSN：1572-9338

文摘

In the presence of uncertainty of asset returns, choosing an appropriate risk measure and determining the optimal weights of assets in a portfolio remain formidable and challenging problems. In this paper, we propose and study a mean-conditional value at risk-skewness portfolio optimization model based on the asymmetric Laplace distribution, which is suitable for describing the leptokurtosis, fat-tail, and skewness characteristics of financial assets. In addition, skewness is added into the portfolio optimization model to meet the diverse needs of investors. To solve this multi-objective problem, we suggest a simplified model with exactly the same solution. This modified model greatly reduces the complexity of the problem. Therefore, the mean-conditional value at risk-skewness model can be correspondingly solved. In order to illustrate the method, we provide an application concerning the portfolio allocation of 19 constituent stocks of S&P 500 index using our model. We show that this model could make important contributions to research on investment decision making.