A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
type: Item
instance of: scholarly article
title: A closed-form solution for robust portfolio selection with worst-case CVaR risk measure
zbMATH Open document ID: 1407.91237
DOI: 10.1155/2014/494575
author: Le Tang
author: Ai-Fan Ling
published in: Mathematical Problems in Engineering
publication date: 2019-02-08T00:00:00Z
review text: Summary: With the uncertainty probability distribution, we establish the worst-case CVaR (WCCVaR) risk measure and discuss a robust portfolio selection problem with WCCVaR constraint. The explicit solution, instead of numerical solution, is found and two-fund separation is proved. The comparison of efficient frontier with mean-variance model is discussed and finally we give numerical comparison with VaR model and equally weighted strategy. The numerical findings indicate that the proposed WCCVaR model has relatively smaller risk and greater return and relatively higher accumulative wealth than VaR model and equally weighted strategy.
Mathematics Subject Classification ID: 91G10
Mathematics Subject Classification ID: 91G60
zbMATH DE Number: 7016579
Wikidata QID: Q59067839
MaRDI profile type: Publication
full work available at URL: https://doi.org/10.1155/2014/494575
OpenAlex ID: W2141366686
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description: scientific article; zbMATH DE number 7016579