✦ LIBER ✦

Robust portfolio selection based on asymmetric measures of variability of stock returns

✍ Scribed by Wei Chen; Shaohua Tan

Publisher: Elsevier Science
Year: 2009
Tongue: English
Weight: 613 KB
Volume: 232
Category: Article
ISSN: 0377-0427
DOI: 10.1016/j.cam.2009.06.010

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✦ Synopsis

This paper addresses a new uncertainty set-interval random uncertainty set for robust optimization. The form of interval random uncertainty set makes it suitable for capturing the downside and upside deviations of real-world data. These deviation measures capture distributional asymmetry and lead to better optimization results. We also apply our interval random chance-constrained programming to robust mean-variance portfolio selection under interval random uncertainty sets in the elements of mean vector and covariance matrix. Numerical experiments with real market data indicate that our approach results in better portfolio performance.

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