Robust multi-period portfolio selection based on downside risk with asymmetrically distributed uncertainty set
MetadataShow full item record
Funding and Sponsorship
Motivated by the asymmetrical attitudes of investors towards downside losses and upside gains, this paper proposes a robust multi-period portfolio selection model based on downside risk with asymmetrically distributed uncertainty set, in which the downside losses of a portfolio are controlled by the lower partial moment (LPM). A computationally tractable approximation approach based on second-order cone optimization is used for solving the proposed model. We show in theory that the optimal solution of the robust model can generate a given probability guarantee for individual and joint stochastic constraints. The effect of the asymmetrically distributed uncertainty set on performance of the optimal solution is analyzed by the usual comparative static method. Comprehensive numerical comparisons with real market data are reported and indicate that the proposed model can obtain the smaller standard deviation and turnover ratios which reduce the Sharpe ratios of optimal portfolio, compared with some well-known models in the literature.
Showing items related by title, author, creator and subject.
Ling, A.; Sun, Jie; Yang, X. (2014)This paper proposes downside risk measure models in portfolio selection that captures uncertainties both in distribution and in parameters. The worst-case distribution with given information on the mean value and the ...
The linkage between the world oil price and Chinese energy-related stock price: Implications for risk managementWen, Xiaoqian (2015)The asymmetric BEKK (Baba, Engle, Kraft and Kroner) econometric model and copulas are used to measure the linkage between the world oil price and Chinese energy stock price and discuss implications for risk management and ...
Shi, C.; Zhou, Guanglu; Bian, D.; Wu, M. (2016)Consider a closed-loop supply chain including a manufacturer, a retailer and two third party recyclers as the background. A coordination and optimization model is built by using the downside-risk function, Cournot model ...