期望和残差收益估计不可靠的鲁棒模型

Robust Model with Unreliable Estimates of Expected Returns and Residual Returns

投资优化问题的最优策略会随着输入参数的扰动而出现敏感的变化,针对投资优化问题中出现的随机变量的参数估计不可靠的情况,本文引入不确定集合描述随机收益的有关矩信息,提出了投资优化问题的一个鲁棒性模型,并采用数学规划的理论和方法,给出了该模型的最优策略和有效前沿的解析表示。本方法能够为采用保守策略的、对不确定性厌恶的投资者提供一种最优的投资策略。

Optimal strategies of a portfolio optimization problem are often sensitive to perturbations in the parameters of the optimization problem. To investigate the portfolio optimization problem, we introduce uncertainty set describing the moments of returns and propose a robust approach which enables us to ob- tain explicit formula solutions and an efficient frontier when the estimates of parameters of uncertainty vector returns are unreliable. This approach is capable of solving the optimal portfolios for an uncertainty-averse investor who takes a conservative viewpoint.