The Optimal Robust Portfolio Model Based on CDaR
Authors
Xing Yu
Corresponding Author
Xing Yu
Available Online May 2014.
- DOI
- 10.2991/iccia.2012.220How to use a DOI?
- Keywords
- portfolio, CDaR, robust, CVaR, Monte Carlo
- 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.
- Copyright
- © 2013, the Authors. Published by Atlantis Press.
- Open Access
- This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).
Cite this article
TY - CONF AU - Xing Yu PY - 2014/05 DA - 2014/05 TI - The Optimal Robust Portfolio Model Based on CDaR BT - Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012) PB - Atlantis Press SP - 904 EP - 906 SN - 1951-6851 UR - https://doi.org/10.2991/iccia.2012.220 DO - 10.2991/iccia.2012.220 ID - Yu2014/05 ER -