运筹与管理2016，Vol.25Issue(6)：128-132,138,6.DOI:10.12005/orms.2016.0211
鲁棒均值-CVaR投资组合模型及实证：基于安全准则的视角
E mpirical Study on Robust Mean-CVaR Portfolio Model:A Safety Criterion Perspective
摘要
Abstract
Considering the uncertainty in the real stock market,the paper regards the security return as an inter-val random variable and develops a robust mean-CVaR portfolio model based on the robust theory.Following the duality theory,the proposed model can be transformed as a linear programming problem,which reduces the com-putational complexity and contributes to solve a large-scale portfolio model.To consider investors’safety require-ment,a concept of the most violated probability is introduced,which can be used to adjust the conservatism of the proposed model and reflect investors’safety requirement intuitively.The performance of the proposed model is empirically studied.The result shows that the proposed model can be used to construct portfolios that exhibit robustness against the expected return,meet investors’safety requirement and are viable in real investment.关键词
金融工程/投资组合模型/鲁棒优化/安全准则Key words
financial engineering/portfolio model/robust optimization/safety criterion分类
管理科学引用本文复制引用
刘家和,金秀,苑莹,郑红..鲁棒均值-CVaR投资组合模型及实证：基于安全准则的视角[J].运筹与管理,2016,25(6):128-132,138,6.基金项目
国家自然科学基金（71571041，71571038，71601040）；中央高校基本科研业务费资助 （）
