Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012)

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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/).

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Volume Title
Proceedings of the 2012 2nd International Conference on Computer and Information Application (ICCIA 2012)
Series
Advances in Intelligent Systems Research
Publication Date
May 2014
ISBN
10.2991/iccia.2012.220
ISSN
1951-6851
DOI
10.2991/iccia.2012.220How to use a DOI?
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

risenwbib
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  -