Robust Optimal Portfolio Model
نویسنده
چکیده
In this paper, we consider the robust optimal portfolio selection problem where the return mean and covariance are supposed to be uncertain comparing to Markowitz’s model. The return mean is uncertain changing in intervals, and we introduce the cuts of fuzzy number to build the uncertain intervals for covariance. We report on empirical tests in which we compare the robust model with the classical mean-variance model. It shows that the portfolio’s return is lower than MV model, but the minimum risk in our model is higher than it. It is benefit for invertors to invest with caution.
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تاریخ انتشار 2014