A new approach to robust modeling of the multi- period portfolio problem
نویسندگان
چکیده
In this paper, we developed a new robust model of multi-period portfolio problem. One of the key concerns in any asset allocation problem is how to cope with uncertainty about future returns. There are some approaches in the literature for this purpose including stochastic programming and robust optimization. Applying these techniques to multi-period portfolio problem may increase the problem size in a way that the resulting model is intractable. In this paper, we proposed a novel approach to formulate multi-period portfolio problem as an uncertain linear program assuming that asset return follows the single-index factor model. We also used robust optimization technique to solve the resulted problem. In order to evaluate the performance of the proposed model, we applied a numerical example using simulated data.
منابع مشابه
Primal and dual robust counterparts of uncertain linear programs: an application to portfolio selection
This paper proposes a family of robust counterpart for uncertain linear programs (LP) which is obtained for a general definition of the uncertainty region. The relationship between uncertainty sets using norm bod-ies and their corresponding robust counterparts defined by dual norms is presented. Those properties lead us to characterize primal and dual robust counterparts. The researchers show t...
متن کاملA robust approach to multi period covering location-allocation problem in pharmaceutical supply chain
This paper proposes a discrete capacitated covering location-allocation model for pharmaceutical centers. In the presented model, two objectives are considered; the first one is minimization of costs and the second one try to maximize customer satisfaction by definition of social justice. Social justice in the model means that we consider customers satisfaction by using distance. the introduced...
متن کاملRobust portfolio selection with polyhedral ambiguous inputs
Ambiguity in the inputs of the models is typical especially in portfolio selection problem where the true distribution of random variables is usually unknown. Here we use robust optimization approach to address the ambiguity in conditional-value-at-risk minimization model. We obtain explicit models of the robust conditional-value-at-risk minimization for polyhedral and correlated polyhedral am...
متن کاملA hybrid solution approach for a multi-objective closed-loop logistics network under uncertainty
The design of closed-loop logistics (forward and reverse logistics) has attracted growing attention with the stringent pressures of customer expectations, environmental concerns and economic factors. This paper considers a multi-product, multi-period and multi-objective closed-loop logistics network model with regard to facility expansion as a facility location–allocation problem, which more cl...
متن کاملMulti-period project portfolio selection under risk considerations and stochastic income
This paper deals with multi-period project portfolio selection problem. In this problem, the available budget is invested on the best portfolio of projects in each period such that the net profit is maximized. We also consider more realistic assumptions to cover wider range of applications than those reported in previous studies. A novel mathematical model is presented to solve the problem, con...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
عنوان ژورنال:
دوره شماره
صفحات -
تاریخ انتشار 2011