投资组合优化
数学优化
文件夹
极小极大
最优化问题
风险度量
变量(数学)
度量(数据仓库)
帕累托原理
计算机科学
数学
经济
财务
数据挖掘
数学分析
作者
Bo Li,Yufei Sun,Grace Aw,Kok Lay Teo
标识
DOI:10.1016/j.apm.2019.06.019
摘要
Portfolio optimization problem is concerned with choosing an optimal portfolio strategy that can strike a balance between maximizing investment return and minimizing investment risk. In many cases, the return rate of risky asset is neither a random variable nor a fuzzy variable. Then, it can be described as an uncertain variable. But, the existing works on uncertain portfolio optimization problem fail to find an analytic solution of optimal portfolio strategy. In this paper, we define a new uncertain risk measure for the modeling of investment risk. Then, an uncertain portfolio optimization model is formulated. By introducing a new variable, we transform it into an equivalent bi-criteria optimization model. Then, we derive a method for the construction of the set of analytic Pareto optimal solutions. Finally, a numerical simulation is carried out to show the applicability of the proposed model and the convenience of finding the analytic solution.
科研通智能强力驱动
Strongly Powered by AbleSci AI